```

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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:  November 30, 2015

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

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

<PAGE>
ITEM 1. Schedule of Investments.

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

```

```

|                                                                                                                                                                                                    |                 |             |   | Pioneer Short Term Income Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------|------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|-----------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                    |                 |             |   | Schedule of Investments 11/30/15 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | Principal Amount ($) | FloatingRate (b) |   | Value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|                                                                                                                                                                                                    |                 |             |   | ASSET BACKED SECURITIES - 14.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 568,337              | 0.40             |   | 321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 549,244                                                                                             |
|                                                                                                                                                                                                    | 165,635              | 0.55             |   | ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 163,488                                                                                             |
|                                                                                                                                                                                                    | 353,410              |             |   | Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 352,747                                                                                             |
|                                                                                                                                                                                                    | 168,953              | 0.62             |   | Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 166,833                                                                                             |
|                                                                                                                                                                                                    | 7,015                | 6.50             |   | ACE Securities Corp. Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 7,009     |
|                                                                                                                                                                                                    | 311,511              | 0.94             |   | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 309,746   |
|                                                                                                                                                                                                    | 101,424              | 1.32             |   | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 100,280   |
|                                                                                                                                                                                                    | 93,290               | 0.59             |   | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 91,828    |
|                                                                                                                                                                                                    | 217,240              |             |   | Alterna Funding I LLC, 1.639%, 2/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 217,068                                                                                             |
|                                                                                                                                                                                                    | 795                  |             |   | American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 795                                                                                                 |
|                                                                                                                                                                                                    | 700,000              |             |   | American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 708,531                                                                                             |
|                                                                                                                                                                                                    | 11,112               |             |   | American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 11,107                                                                                              |
|                                                                                                                                                                                                    | 750,000              |             |   | American Credit Acceptance Receivables Trust 2014-2, 4.96%, 5/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 755,788                                                                                             |
|                                                                                                                                                                                                    | 72,192               |             |   | American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 72,135                                                                                              |
|                                                                                                                                                                                                    | 760,000              | 1.00             |   | American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 760,086   |
|                                                                                                                                                                                                    | 665,000              | 1.60             |   | American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 651,626                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 507,213                                                                                             |
|                                                                                                                                                                                                    | 550,000              |             |   | AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 559,603                                                                                             |
|                                                                                                                                                                                                    | 77,427               | 0.47             |   | AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 77,392                                                                                              |
|                                                                                                                                                                                                    | 496,086              | 0.55             |   | Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Ctfs Series 2005-R11, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 486,998   |
|                                                                                                                                                                                                    | 45,837               | 3.97             |   | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 03-AR3, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 46,528    |
|                                                                                                                                                                                                    | 185,729              | 0.87             |   | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 185,289   |
|                                                                                                                                                                                                    | 129,175              | 0.78             |   | AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 125,306   |
|                                                                                                                                                                                                    | 73,834               |             |   | Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 73,800                                                                                              |
|                                                                                                                                                                                                    | 700,000              |             |   | Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 707,278                                                                                             |
|                                                                                                                                                                                                    | 510,000              |             |   | Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 511,962                                                                                             |
|                                                                                                                                                                                                    | 446,832              | 3.72             |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 453,247   |
|                                                                                                                                                                                                    | 440,922              | 0.94             |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 435,672   |
|                                                                                                                                                                                                    | 70,025               | 0.93             |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 69,297    |
|                                                                                                                                                                                                    | 44,918               | 0.42             |   | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 42,931    |
|                                                                                                                                                                                                    | 399,955              |             |   | AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 404,055                                                                                             |
|                                                                                                                                                                                                    | 699,922              |             |   | AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 713,220                                                                                             |
|                                                                                                                                                                                                    | 299,996              |             |   | Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 299,825                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.54             |   | Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 499,151                                                                                             |
|                                                                                                                                                                                                    | 148,023              | 4.91             |   | Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 148,900                                                                                             |
|                                                                                                                                                                                                    | 1,122,380            | 0.73             |   | Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,114,604                                                                                           |
|                                                                                                                                                                                                    | 149,360              | 0.53             |   | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 147,219                                                                                             |
|                                                                                                                                                                                                    | 20,928               | 0.50             |   | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 20,629                                                                                              |
|                                                                                                                                                                                                    | 473,864              | 0.68             |   | Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 470,624                                                                                             |
|                                                                                                                                                                                                    | 203,006              | 3.72             |   | Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 203,108   |
|                                                                                                                                                                                                    | 224,719              |             |   | Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 225,468                                                                                             |
|                                                                                                                                                                                                    | 79,973               |             |   | Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 79,431                                                                                              |
|                                                                                                                                                                                                    | 383,676              | 0.72             |   | Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 380,523                                                                                             |
|                                                                                                                                                                                                    | 35,590               | 1.42             |   | Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 35,581                                                                                              |
|                                                                                                                                                                                                    | 158,666              | 0.71             |   | Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 155,431                                                                                             |
|                                                                                                                                                                                                    | 183,753              | 1.22             |   | Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 181,465                                                                                             |
|                                                                                                                                                                                                    | 12,033               |             |   | California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 12,033                                                                                              |
|                                                                                                                                                                                                    | 125,000              |             |   | Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 124,883                                                                                             |
|                                                                                                                                                                                                    | 300,000              | 0.38             |   | Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 299,914                                                                                             |
|                                                                                                                                                                                                    | 540,000              |             |   | CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 543,073                                                                                             |
|                                                                                                                                                                                                    | 89,118               | 0.96             |   | Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 89,091                                                                                              |
|                                                                                                                                                                                                    | 813,354              | 0.40             |   | Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 789,639                                                                                             |
|                                                                                                                                                                                                    | 370,172              | 0.84             |   | CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 347,682                                                                                             |
|                                                                                                                                                                                                    | 402,914              |             |   | Centerpoint Energy Transition Bond Co. II LLC, 5.17%, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 414,987                                                                                             |
|                                                                                                                                                                                                    | 73,336               | 0.76             |   | Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 65,366                                                                                              |
|                                                                                                                                                                                                    | 192,100              |             |   | Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 195,499                                                                                             |
|                                                                                                                                                                                                    | 42,203               | 0.64             |   | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 42,132                                                                                              |
|                                                                                                                                                                                                    | 250,000              | 2.04             |   | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 250,077                                                                                             |
|                                                                                                                                                                                                    | 381,097              | 0.42             |   | Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 369,589                                                                                             |
|                                                                                                                                                                                                    | 58,832               | 1.24             |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 55,527                                                                                              |
|                                                                                                                                                                                                    | 334,242              | 0.95             |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 332,576                                                                                             |
|                                                                                                                                                                                                    | 4,342                |             |   | CNH Equipment Trust 2012-C, 0.57%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 4,341                                                                                               |
|                                                                                                                                                                                                    | 178,937              |             |   | CNH Equipment Trust 2013-A, 0.69%, 6/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 178,908                                                                                             |
|                                                                                                                                                                                                    | 170,000              |             |   | CNH Equipment Trust 2013-B, 0.99%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 168,873                                                                                             |
|                                                                                                                                                                                                    | 525,000              | 0.80             |   | CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 524,253                                                                                             |
|                                                                                                                                                                                                    | 700,000              | 2.10             |   | Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 679,958                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 2.10             |   | Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 581,446                                                                                             |
|                                                                                                                                                                                                    | 23,461               |             |   | Conseco Finance Corp., 7.55%, 4/15/32 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 23,498                                                                                              |
|                                                                                                                                                                                                    | 713,955              | 1.70             |   | Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 699,733                                                                                             |
|                                                                                                                                                                                                    | 411,676              |             |   | Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 412,823                                                                                             |
|                                                                                                                                                                                                    | 141,630              | 0.40             |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 138,828                                                                                             |
|                                                                                                                                                                                                    | 54,492               | 0.81             |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 53,928                                                                                              |
|                                                                                                                                                                                                    | 346,796              | 4.77             |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 354,278                                                                                             |
|                                                                                                                                                                                                    | 384,528              | 1.12             |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 381,339                                                                                             |
|                                                                                                                                                                                                    | 466,874              | 1.32             |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 447,063                                                                                             |
|                                                                                                                                                                                                    | 238,750              |             |   | CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 236,958                                                                                             |
|                                                                                                                                                                                                    | 62,624               |             |   | CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 62,643                                                                                              |
|                                                                                                                                                                                                    | 69,587               |             |   | CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 69,425                                                                                              |
|                                                                                                                                                                                                    | 883,580              |             |   | Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 882,606                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,002,383                                                                                           |
|                                                                                                                                                                                                    | 139,085              | 0.49             |   | Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 137,048                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 751,105                                                                                             |
|                                                                                                                                                                                                    | 290,425              |             |   | Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 291,720                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 758,776                                                                                             |
|                                                                                                                                                                                                    | 562,594              | 3.17             |   | Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 569,552                                                                                             |
|                                                                                                                                                                                                    | 300,090              | 1.12             |   | Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 296,273                                                                                             |
|                                                                                                                                                                                                    | 264,158              | 0.96             |   | Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 260,870                                                                                             |
|                                                                                                                                                                                                    | 419,022              | 4.14             |   | Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 422,203                                                                                             |
|                                                                                                                                                                                                    | 486,710              | 4.62             |   | Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 492,447                                                                                             |
|                                                                                                                                                                                                    | 103,231              |             |   | Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 102,993                                                                                             |
|                                                                                                                                                                                                    | 748,107              | 2.22             |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 754,228                                                                                             |
|                                                                                                                                                                                                    | 194,117              |             |   | Federal Home Loan Banks, 2.9%, 4/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 198,272                                                                                             |
|                                                                                                                                                                                                    | 176,515              | 0.52             |   | FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 173,586                                                                                             |
|                                                                                                                                                                                                    | 47,350               | 1.30             |   | Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 47,344                                                                                              |
|                                                                                                                                                                                                    | 207,839              | 1.72             |   | First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 205,519                                                                                             |
|                                                                                                                                                                                                    | 358,342              | 1.52             |   | First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 344,427                                                                                             |
|                                                                                                                                                                                                    | 311,090              | 0.73             |   | First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 309,376                                                                                             |
|                                                                                                                                                                                                    | 4,003                |             |   | First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,004                                                                                               |
|                                                                                                                                                                                                    | 55,000               |             |   | First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 55,058                                                                                              |
|                                                                                                                                                                                                    | 200,000              |             |   | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 199,286                                                                                             |
|                                                                                                                                                                                                    | 210,663              |             |   | First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 210,621                                                                                             |
|                                                                                                                                                                                                    | 300,000              |             |   | First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 301,436                                                                                             |
|                                                                                                                                                                                                    | 700,000              |             |   | Flagship Credit Auto Trust 2013-1, 5.38%, 7/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 706,692                                                                                             |
|                                                                                                                                                                                                    | 52,263               | 0.62             |   | Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 51,975                                                                                              |
|                                                                                                                                                                                                    | 100,000              |             |   | Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 99,906                                                                                              |
|                                                                                                                                                                                                    | 465,000              |             |   | Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 468,067                                                                                             |
|                                                                                                                                                                                                    | 1,122                | 0.56             |   | Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,123                                                                                               |
|                                                                                                                                                                                                    | 553,000              | 2.17             |   | Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 541,707                                                                                             |
|                                                                                                                                                                                                    | 421,852              | 1.65             |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 421,852                                                                                             |
|                                                                                                                                                                                                    | 209,406              | 0.56             |   | Gale Force 3 CLO, Ltd., Floating Rate Note, 4/19/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 204,813                                                                                             |
|                                                                                                                                                                                                    | 239,812              |             |   | GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 238,001                                                                                             |
|                                                                                                                                                                                                    | 450,753              |             |   | GLC Trust 2013-1, 3.0%, 7/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 445,119                                                                                             |
|                                                                                                                                                                                                    | 273,207              |             |   | Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 272,858                                                                                             |
|                                                                                                                                                                                                    | 760,103              |             |   | GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 766,395                                                                                             |
|                                                                                                                                                                                                    | 957,577              |             |   | GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 954,991                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 749,922                                                                                             |
|                                                                                                                                                                                                    | 223,025              | 0.99             |   | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 221,951                                                                                             |
|                                                                                                                                                                                                    | 280,877              | 0.65             |   | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 265,154                                                                                             |
|                                                                                                                                                                                                    | 91,217               | 0.97             |   | GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 89,743                                                                                              |
|                                                                                                                                                                                                    | 234,211              | 0.52             |   | GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 232,062                                                                                             |
|                                                                                                                                                                                                    | 206,561              | 1.57             |   | GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 199,210                                                                                             |
|                                                                                                                                                                                                    | 138,230              | 0.52             |   | GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 135,673                                                                                             |
|                                                                                                                                                                                                    | 131,439              | 0.52             |   | GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 125,244                                                                                             |
|                                                                                                                                                                                                    | 216,224              | 0.59             |   | Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 215,624                                                                                             |
|                                                                                                                                                                                                    | 518,614              |             |   | Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 507,612                                                                                             |
|                                                                                                                                                                                                    | 42,698               | 0.39             |   | Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 42,030                                                                                              |
|                                                                                                                                                                                                    | 242,292              | 0.33             |   | Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 239,422                                                                                             |
|                                                                                                                                                                                                    | 206,230              |             |   | Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 209,795                                                                                             |
|                                                                                                                                                                                                    | 64,776               |             |   | Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 66,164                                                                                              |
|                                                                                                                                                                                                    | 626,604              | 0.94             |   | HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 591,793                                                                                             |
|                                                                                                                                                                                                    | 18,929               | 0.64             |   | HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 18,914                                                                                              |
|                                                                                                                                                                                                    | 137,787              | 1.14             |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 137,723                                                                                             |
|                                                                                                                                                                                                    | 74,026               |             |   | Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 73,998                                                                                              |
|                                                                                                                                                                                                    | 98,270               |             |   | Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 98,332                                                                                              |
|                                                                                                                                                                                                    | 923,935              | 0.45             |   | HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 918,706                                                                                             |
|                                                                                                                                                                                                    | 100,547              | 0.41             |   | HSI Asset Securitization Corp. Trust 2006-OPT1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 98,881                                                                                              |
|                                                                                                                                                                                                    | 500,000              |             |   | Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 496,782                                                                                             |
|                                                                                                                                                                                                    | 910,586              | 1.08             |   | Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 899,322                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.10             |   | Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 732,015                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 1.80             |   | Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 588,246                                                                                             |
|                                                                                                                                                                                                    | 212,368              | 0.54             |   | Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 211,737                                                                                             |
|                                                                                                                                                                                                    | 49,444               |             |   | Irwin Home Equity Loan Trust 2005-1, 5.82%, 6/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 49,008                                                                                              |
|                                                                                                                                                                                                    | 389,518              | 1.72             |   | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 384,811                                                                                             |
|                                                                                                                                                                                                    | 97,330               | 3.22             |   | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 97,182                                                                                              |
|                                                                                                                                                                                                    | 152,380              | 4.72             |   | Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 151,587                                                                                             |
|                                                                                                                                                                                                    | 710,663              | 0.69             |   | Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 694,147                                                                                             |
|                                                                                                                                                                                                    | 25,849               | 0.88             |   | IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 25,538                                                                                              |
|                                                                                                                                                                                                    | 119,519              | 0.37             |   | JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 118,768                                                                                             |
|                                                                                                                                                                                                    | 375,000              | 1.81             |   | KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 373,607                                                                                             |
|                                                                                                                                                                                                    | 311,966              |             |   | Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 312,602                                                                                             |
|                                                                                                                                                                                                    | 655,488              | 0.65             |   | Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 640,563                                                                                             |
|                                                                                                                                                                                                    | 11,500               | 2.47             |   | Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 11,500                                                                                              |
|                                                                                                                                                                                                    | 332,981              |             |   | Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 338,252                                                                                             |
|                                                                                                                                                                                                    | 12,113               | 0.90             |   | Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 12,104                                                                                              |
|                                                                                                                                                                                                    | 447,395              | 0.45             |   | Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 443,681                                                                                             |
|                                                                                                                                                                                                    | 64,676               | 0.41             |   | Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 64,274                                                                                              |
|                                                                                                                                                                                                    | 241,039              | 0.52             |   | Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 234,600                                                                                             |
|                                                                                                                                                                                                    | 272,996              | 1.14             |   | Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 273,138                                                                                             |
|                                                                                                                                                                                                    | 264,574              | 0.83             |   | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 262,732                                                                                             |
|                                                                                                                                                                                                    | 543,148              | 0.86             |   | Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 532,905                                                                                             |
|                                                                                                                                                                                                    | 564,813              |             |   | MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 561,488                                                                                             |
|                                                                                                                                                                                                    | 474,507              |             |   | Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 474,547                                                                                             |
|                                                                                                                                                                                                    | 650,000              |             |   | Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 651,170                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 499,481                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 1.71             |   | NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 750,000                                                                                             |
|                                                                                                                                                                                                    | 334,713              | 0.92             |   | New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 332,037                                                                                             |
|                                                                                                                                                                                                    | 1,000,521            |             |   | Newstar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 997,202                                                                                             |
|                                                                                                                                                                                                    | 560,000              | 1.80             |   | NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 533,184                                                                                             |
|                                                                                                                                                                                                    | 1,457,000            | 1.87             |   | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,437,314                                                                                           |
|                                                                                                                                                                                                    | 27,423               | 1.30             |   | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 27,435                                                                                              |
|                                                                                                                                                                                                    | 800,000              |             |   | Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 799,000                                                                                             |
|                                                                                                                                                                                                    | 317,639              | 0.48             |   | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 314,667   |
|                                                                                                                                                                                                    | 127,984              | 1.35             |   | Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 126,875                                                                                             |
|                                                                                                                                                                                                    | 201,033              |             |   | Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 207,195                                                                                             |
|                                                                                                                                                                                                    | 211,312              | 5.91             |   | Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 220,375                                                                                             |
|                                                                                                                                                                                                    | 315,488              | 5.46             |   | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 319,646                                                                                             |
|                                                                                                                                                                                                    | 359,723              |             |   | Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 359,734                                                                                             |
|                                                                                                                                                                                                    | 605,839              | 1.35             |   | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 605,104   |
|                                                                                                                                                                                                    | 346,483              | 0.59             |   | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WHQ4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 344,411   |
|                                                                                                                                                                                                    | 800,000              | 0.75             |   | PFS Financing Corp., Floating Rate Note, 2/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 799,508                                                                                             |
|                                                                                                                                                                                                    | 575,000              | 0.80             |   | PFS Financing Corp., Floating Rate Note, 2/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 570,500                                                                                             |
|                                                                                                                                                                                                    | 188,000              |             |   | PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 187,714                                                                                             |
|                                                                                                                                                                                                    | 387,522              |             |   | Popular ABS Mortgage Pass-Through Trust 2004-4, 4.72776%, 9/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 367,080                                                                                             |
|                                                                                                                                                                                                    | 1,370,000            |             |   | Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,373,255                                                                                           |
|                                                                                                                                                                                                    | 350,000              |             |   | Progreso Receivables Funding LLC, 3.0%, 7/8/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 349,580                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 2.45             |   | Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 979,183                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 750,000                                                                                             |
|                                                                                                                                                                                                    | 720,616              | 0.88             |   | Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 702,095                                                                                             |
|                                                                                                                                                                                                    | 188,990              | 1.17             |   | RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 187,008                                                                                             |
|                                                                                                                                                                                                    | 285,139              | 0.47             |   | RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 281,590                                                                                             |
|                                                                                                                                                                                                    | 211,613              | 5.06             |   | RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 208,421                                                                                             |
|                                                                                                                                                                                                    | 200,935              | 1.13             |   | RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 198,216                                                                                             |
|                                                                                                                                                                                                    | 50,633               | 0.72             |   | RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 50,433                                                                                              |
|                                                                                                                                                                                                    | 348,595              |             |   | RBSHD 2013-1 Trust, 4.6853%, 10/25/47 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 348,896                                                                                             |
|                                                                                                                                                                                                    | 98,170               | 1.72             |   | RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 96,992                                                                                              |
|                                                                                                                                                                                                    | 103,370              |             |   | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 104,030                                                                                             |
|                                                                                                                                                                                                    | 272,478              | 1.02             |   | SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 266,298                                                                                             |
|                                                                                                                                                                                                    | 58,901               | 0.76             |   | SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 58,590                                                                                              |
|                                                                                                                                                                                                    | 319,467              | 0.68             |   | Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 315,016                                                                                             |
|                                                                                                                                                                                                    | 253,253              | 0.45             |   | Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 252,041                                                                                             |
|                                                                                                                                                                                                    | 266,443              |             |   | Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 268,297                                                                                             |
|                                                                                                                                                                                                    | 307,355              |             |   | Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 306,208                                                                                             |
|                                                                                                                                                                                                    | 120,098              |             |   | Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 119,123                                                                                             |
|                                                                                                                                                                                                    | 107,325              |             |   | Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 107,851                                                                                             |
|                                                                                                                                                                                                    | 241,482              |             |   | Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 242,720                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.25             |   | Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 729,315                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Skopos Auto Receivables Trust 2015-2, 3.55%, 2/17/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 499,793                                                                                             |
|                                                                                                                                                                                                    | 70,690               | 0.63             |   | SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 70,688                                                                                              |
|                                                                                                                                                                                                    | 171,143              | 0.48             |   | Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 168,181                                                                                             |
|                                                                                                                                                                                                    | 790,207              | 0.52             |   | Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 767,746   |
|                                                                                                                                                                                                    | 633,822              |             |   | SpringCastle America Funding LLC, 2.7%, 5/25/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 635,278                                                                                             |
|                                                                                                                                                                                                    | 314,219              |             |   | Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 313,857                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 999,031                                                                                             |
|                                                                                                                                                                                                    | 327,961              |             |   | STORE Master Funding LLC, 5.77%, 8/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 345,648                                                                                             |
|                                                                                                                                                                                                    | 457,542              | 0.92             |   | Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 456,165                                                                                             |
|                                                                                                                                                                                                    | 490,413              |             |   | Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 487,348                                                                                             |
|                                                                                                                                                                                                    | 622,687              |             |   | SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 616,080                                                                                             |
|                                                                                                                                                                                                    | 693,910              | 1.50             |   | SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 680,761                                                                                             |
|                                                                                                                                                                                                    | 246,855              |             |   | TAL Advantage V LLC, 1.7%, 5/20/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 244,401                                                                                             |
|                                                                                                                                                                                                    | 163,213              | 1.16             |   | Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 158,893                                                                                             |
|                                                                                                                                                                                                    | 99,950               | 0.67             |   | Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 99,574                                                                                              |
|                                                                                                                                                                                                    | 102,805              |             |   | Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 105,473                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 1.44             |   | Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 246,075                                                                                             |
|                                                                                                                                                                                                    | 400,000              | 1.15             |   | Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 397,529                                                                                             |
|                                                                                                                                                                                                    | 792,333              |             |   | U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 789,003                                                                                             |
|                                                                                                                                                                                                    | 700,000              |             |   | United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 694,987                                                                                             |
|                                                                                                                                                                                                    | 530,837              |             |   | US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 528,757                                                                                             |
|                                                                                                                                                                                                    | 331,718              |             |   | VOLT XIX LLC, 3.875%, 4/26/55 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 332,159                                                                                             |
|                                                                                                                                                                                                    | 355,195              |             |   | VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 350,272                                                                                             |
|                                                                                                                                                                                                    | 615,280              |             |   | VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 609,281                                                                                             |
|                                                                                                                                                                                                    | 498,444              |             |   | VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 497,579                                                                                             |
|                                                                                                                                                                                                    | 460,781              |             |   | VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 457,905                                                                                             |
|                                                                                                                                                                                                    | 387,858              |             |   | VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 387,118                                                                                             |
|                                                                                                                                                                                                    | 731,131              |             |   | VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 729,307                                                                                             |
|                                                                                                                                                                                                    | 26,875               | 0.94             |   | Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 26,807                                                                                              |
|                                                                                                                                                                                                    | 32,005               | 0.60             |   | Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 31,760    |
|                                                                                                                                                                                                    | 499,632              |             |   | Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 499,921                                                                                             |
|                                                                                                                                                                                                    | 135,135              |             |   | Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 136,199                                                                                             |
|                                                                                                                                                                                                    | 679,382              |             |   | Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 671,739                                                                                             |
|                                                                                                                                                                                                    | 47,296               |             |   | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 47,327                                                                                              |
|                                                                                                                                                                                                    | 470,000              |             |   | Westlake Automobile Receivables Trust 2014-1, 1.24%, 11/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 469,743                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 84,695,320                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $84,802,713)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 84,695,320                                                                                          |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | COLLATERALIZED MORTGAGE OBLIGATIONS - 31.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 125,780              |             |   | A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 125,996                                                                                             |
|                                                                                                                                                                                                    | 705,780              |             |   | A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 708,845                                                                                             |
|                                                                                                                                                                                                    | 700,000              | 1.64             |   | ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 693,137                                                                                             |
|                                                                                                                                                                                                    | 241,915              | 0.50             |   | Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 227,136                                                                                             |
|                                                                                                                                                                                                    | 91,985               | 0.67             |   | Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 79,862                                                                                              |
|                                                                                                                                                                                                    | 1,150                |             |   | Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,149                                                                                               |
|                                                                                                                                                                                                    | 293,709              | 0.80             |   | Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 284,402                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.95             |   | Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 500,000   |
|                                                                                                                                                                                                    | 800,000              | 2.40             |   | BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 800,040   |
|                                                                                                                                                                                                    | 580,000              | 1.30             |   | BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 577,347   |
|                                                                                                                                                                                                    | 930,000              | 2.80             |   | BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 927,314   |
|                                                                                                                                                                                                    | 950,000              | 2.44             |   | BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 933,334                                                                                             |
|                                                                                                                                                                                                    | 41,910               | 0.67             |   | Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 41,764                                                                                              |
|                                                                                                                                                                                                    | 1,000,000            | 5.46             |   | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,002,359                                                                                           |
|                                                                                                                                                                                                    | 1,750,000            | 5.42             |   | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,749,654                                                                                           |
|                                                                                                                                                                                                    | 1,675,868            |             |   | Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,693,431                                                                                           |
|                                                                                                                                                                                                    | 90,492               |             |   | Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 93,785                                                                                              |
|                                                                                                                                                                                                    | 392,713              | 0.52             |   | Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 380,645                                                                                             |
|                                                                                                                                                                                                    | 232,662              | 2.75             |   | Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 233,953                                                                                             |
|                                                                                                                                                                                                    | 965,516              | 2.87             |   | Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 949,880                                                                                             |
|                                                                                                                                                                                                    | 395,353              | 2.72             |   | Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 393,677                                                                                             |
|                                                                                                                                                                                                    | 529,052              | 1.80             |   | BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 527,687                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.20             |   | BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 740,855                                                                                             |
|                                                                                                                                                                                                    | 424,649              | 2.99             |   | BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 431,848                                                                                             |
|                                                                                                                                                                                                    | 302,655              | 2.68             |   | BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 305,180                                                                                             |
|                                                                                                                                                                                                    | 265,477              | 2.98             |   | BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 273,277                                                                                             |
|                                                                                                                                                                                                    | 308,111              | 1.06             |   | Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 301,616                                                                                             |
|                                                                                                                                                                                                    | 875,909              | 0.92             |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 854,394                                                                                             |
|                                                                                                                                                                                                    | 311,942              | 1.06             |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 295,256                                                                                             |
|                                                                                                                                                                                                    | 883,298              | 1.06             |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 839,586                                                                                             |
|                                                                                                                                                                                                    | 518,676              | 0.92             |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 502,787                                                                                             |
|                                                                                                                                                                                                    | 103,324              | 0.96             |   | Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 101,792                                                                                             |
|                                                                                                                                                                                                    | 687,594              | 0.82             |   | Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 658,347                                                                                             |
|                                                                                                                                                                                                    | 232,664              | 2.60             |   | Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 232,971                                                                                             |
|                                                                                                                                                                                                    | 83,893               | 2.86             |   | Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 82,084                                                                                              |
|                                                                                                                                                                                                    | 69,860               | 2.92             |   | Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 67,688                                                                                              |
|                                                                                                                                                                                                    | 550,000              | 5.21             |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 549,458   |
|                                                                                                                                                                                                    | 108,244              | 4.99             |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 108,458   |
|                                                                                                                                                                                                    | 645,395              | 5.89             |   | Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 649,366   |
|                                                                                                                                                                                                    | 552,904              | 5.82             |   | Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 554,726   |
|                                                                                                                                                                                                    | 89,880               | 2.69             |   | Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 91,776                                                                                              |
|                                                                                                                                                                                                    | 279,881              | 0.91             |   | Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 248,998                                                                                             |
|                                                                                                                                                                                                    | 1,610,000            | 1.55             |   | BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,589,718                                                                                           |
|                                                                                                                                                                                                    | 430,000              | 1.95             |   | Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 429,914                                                                                             |
|                                                                                                                                                                                                    | 800,000              | 3.05             |   | BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 793,553                                                                                             |
|                                                                                                                                                                                                    | 138,525              | 5.34             |   | CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 138,354                                                                                             |
|                                                                                                                                                                                                    | 1,340,000            | 2.70             |   | CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,320,297                                                                                           |
|                                                                                                                                                                                                    | 352,341              |             |   | Cendant Mortgage Corp., 6.25%, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 367,332                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Cent CLO, 2.52%, 8/1/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,001,358                                                                                           |
|                                                                                                                                                                                                    | 800,000              | 2.35             |   | CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 792,895                                                                                             |
|                                                                                                                                                                                                    | 310,000              | 1.40             |   | CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 307,344                                                                                             |
|                                                                                                                                                                                                    | 1,720,000            | 2.10             |   | CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 1,717,940 |
|                                                                                                                                                                                                    | 13,916               |             |   | Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 13,941                                                                                              |
|                                                                                                                                                                                                    | 165,483              | 2.58             |   | CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 160,066                                                                                             |
|                                                                                                                                                                                                    | 56,459               |             |   | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 58,330    |
|                                                                                                                                                                                                    | 312,421              |             |   | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 318,895   |
|                                                                                                                                                                                                    | 1,250,000            | 2.30             |   | Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,251,089 |
|                                                                                                                                                                                                    | 449,439              |             |   | Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 464,960                                                                                             |
|                                                                                                                                                                                                    | 38,493               |             |   | Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 38,938                                                                                              |
|                                                                                                                                                                                                    | 8,974                | 5.50             |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 389                                                                                                 |
|                                                                                                                                                                                                    | 178,395              | 2.57             |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 140,921                                                                                             |
|                                                                                                                                                                                                    | 275,808              | 0.83             |   | CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 264,086                                                                                             |
|                                                                                                                                                                                                    | 27,012               | 1.14             |   | Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 27,144                                                                                              |
|                                                                                                                                                                                                    | 500,000              | 2.10             |   | Colony Mortgage Capital Series 2015-FL3, Ltd., Floating Rate Note, 9/5/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 500,000                                                                                             |
|                                                                                                                                                                                                    | 1,370,000            | 2.35             |   | COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,363,890                                                                                           |
|                                                                                                                                                                                                    | 1,630,000            | 1.85             |   | COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,612,149                                                                                           |
|                                                                                                                                                                                                    | 400,000              | 1.00             |   | COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 396,814                                                                                             |
|                                                                                                                                                                                                    | 820,000              | 1.79             |   | COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 802,157                                                                                             |
|                                                                                                                                                                                                    | 1,110,000            | 1.95             |   | COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,105,816                                                                                           |
|                                                                                                                                                                                                    | 1,850,000            | 1.80             |   | COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,836,876                                                                                           |
|                                                                                                                                                                                                    | 170,701              | 2.14             |   | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 170,457                                                                                             |
|                                                                                                                                                                                                    | 850,000              | 1.80             |   | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 844,710                                                                                             |
|                                                                                                                                                                                                    | 1,252,820            | 5.66             |   | Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,254,489 |
|                                                                                                                                                                                                    | 950,000              | 5.82             |   | Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 964,077   |
|                                                                                                                                                                                                    | 874,741              |             |   | Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 902,361                                                                                             |
|                                                                                                                                                                                                    | 953,756              | 5.70             |   | Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 989,657                                                                                             |
|                                                                                                                                                                                                    | 553,665              | 5.95             |   | Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 579,909   |
|                                                                                                                                                                                                    | 176,074              |             |   | Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 175,946                                                                                             |
|                                                                                                                                                                                                    | 34,844               |             |   | Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 35,374                                                                                              |
|                                                                                                                                                                                                    | 32,205               |             |   | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 32,638                                                                                              |
|                                                                                                                                                                                                    | 254,937              |             |   | Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 272,543                                                                                             |
|                                                                                                                                                                                                    | 347,119              | 0.49             |   | Credit Suisse First Boston Mortgage Securities, 05-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 338,698                                                                                             |
|                                                                                                                                                                                                    | 333,750              | 2.86             |   | Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 335,704                                                                                             |
|                                                                                                                                                                                                    | 400,000              | 2.45             |   | CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 397,194                                                                                             |
|                                                                                                                                                                                                    | 1,950,000            | 1.45             |   | CSMC Trust 2014-ICE, Floating Rate Note, 4/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,943,740                                                                                           |
|                                                                                                                                                                                                    | 900,000              | 2.05             |   | CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 892,985                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 3.05             |   | CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 741,008                                                                                             |
|                                                                                                                                                                                                    | 300,000              | 1.50             |   | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 299,749                                                                                             |
|                                                                                                                                                                                                    | 399,000              | 2.15             |   | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 398,666                                                                                             |
|                                                                                                                                                                                                    | 540,000              | 1.79             |   | EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 530,252                                                                                             |
|                                                                                                                                                                                                    | 1,020,000            | 1.39             |   | EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,006,303                                                                                           |
|                                                                                                                                                                                                    | 322,343              | 1.29             |   | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 321,580                                                                                             |
|                                                                                                                                                                                                    | 710,100              | 1.17             |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 702,689                                                                                             |
|                                                                                                                                                                                                    | 983,282              | 1.42             |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 980,342                                                                                             |
|                                                                                                                                                                                                    | 206,918              | 2.34             |   | Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 216,803                                                                                             |
|                                                                                                                                                                                                    | 596,281              | 0.46             |   | Fannie Mae Whole Loan, Floating Rate Note, 11/25/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 597,580                                                                                             |
|                                                                                                                                                                                                    | 3,038,307            |             |   | Fannie Mae, 3.0%, 6/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,116,484                                                                                           |
|                                                                                                                                                                                                    | 199,316              |             |   | Fannie Mae, 3.5%, 10/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 202,522                                                                                             |
|                                                                                                                                                                                                    | 153,525              |             |   | Fannie Mae, 4.0%, 8/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 155,231                                                                                             |
|                                                                                                                                                                                                    | 252,722              |             |   | Fannie Mae, 4.5%, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 259,485                                                                                             |
|                                                                                                                                                                                                    | 117,013              |             |   | Fannie Mae, 5.0%, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 118,580                                                                                             |
|                                                                                                                                                                                                    | 671,021              |             |   | FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 675,877                                                                                             |
|                                                                                                                                                                                                    | 52,796               |             |   | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 54,164                                                                                              |
|                                                                                                                                                                                                    | 33,800               |             |   | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 33,906                                                                                              |
|                                                                                                                                                                                                    | 134                  |             |   | Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 134                                                                                                 |
|                                                                                                                                                                                                    | 60,033               | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 60,091                                                                                              |
|                                                                                                                                                                                                    | 820,954              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 823,752                                                                                             |
|                                                                                                                                                                                                    | 75,259               | 0.40             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 75,398                                                                                              |
|                                                                                                                                                                                                    | 207,688              | 0.78             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 210,235                                                                                             |
|                                                                                                                                                                                                    | 173,065              | 0.55             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 173,920                                                                                             |
|                                                                                                                                                                                                    | 80,594               | 0.55             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 81,010                                                                                              |
|                                                                                                                                                                                                    | 402,051              | 0.57             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 403,781                                                                                             |
|                                                                                                                                                                                                    | 101,097              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 101,494                                                                                             |
|                                                                                                                                                                                                    | 161,109              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 162,005                                                                                             |
|                                                                                                                                                                                                    | 294,468              | 0.52             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 296,015                                                                                             |
|                                                                                                                                                                                                    | 226,953              | 0.90             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 230,080                                                                                             |
|                                                                                                                                                                                                    | 203,137              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 203,351                                                                                             |
|                                                                                                                                                                                                    | 195,037              | 1.20             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 200,947                                                                                             |
|                                                                                                                                                                                                    | 233,669              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 235,929                                                                                             |
|                                                                                                                                                                                                    | 163,518              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 163,832                                                                                             |
|                                                                                                                                                                                                    | 115,100              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 115,421                                                                                             |
|                                                                                                                                                                                                    | 264,348              | 0.70             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 265,033                                                                                             |
|                                                                                                                                                                                                    | 163,498              | 0.75             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 165,006                                                                                             |
|                                                                                                                                                                                                    | 137,014              | 1.20             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 140,647                                                                                             |
|                                                                                                                                                                                                    | 237,017              | 1.20             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 244,656                                                                                             |
|                                                                                                                                                                                                    | 492,676              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 495,147                                                                                             |
|                                                                                                                                                                                                    | 519,339              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 521,422                                                                                             |
|                                                                                                                                                                                                    | 204,565              | 0.75             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 207,403                                                                                             |
|                                                                                                                                                                                                    | 198,162              | 0.70             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 200,883                                                                                             |
|                                                                                                                                                                                                    | 109,322              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 109,723                                                                                             |
|                                                                                                                                                                                                    | 348,986              | 0.62             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 351,388                                                                                             |
|                                                                                                                                                                                                    | 113,910              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 113,904                                                                                             |
|                                                                                                                                                                                                    | 41,365               | 0.38             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 41,362                                                                                              |
|                                                                                                                                                                                                    | 83,992               | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 84,595                                                                                              |
|                                                                                                                                                                                                    | 97,171               | 0.62             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 97,990                                                                                              |
|                                                                                                                                                                                                    | 246,106              | 0.63             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 247,841                                                                                             |
|                                                                                                                                                                                                    | 135,032              | 0.60             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 135,622                                                                                             |
|                                                                                                                                                                                                    | 188,858              | 0.70             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 190,238                                                                                             |
|                                                                                                                                                                                                    | 68,047               | 0.80             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 68,456                                                                                              |
|                                                                                                                                                                                                    | 229,751              | 0.45             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 230,037                                                                                             |
|                                                                                                                                                                                                    | 106,099              | 0.40             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 106,075                                                                                             |
|                                                                                                                                                                                                    | 73,593               | 0.45             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 73,611                                                                                              |
|                                                                                                                                                                                                    | 191,660              | 0.45             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 192,001                                                                                             |
|                                                                                                                                                                                                    | 186,758              | 0.50             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 187,147                                                                                             |
|                                                                                                                                                                                                    | 115,577              | 0.65             |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 115,886                                                                                             |
|                                                                                                                                                                                                    | 348,402              |             |   | Federal Home Loan Mortgage Corp., 2.75%, 11/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 355,817                                                                                             |
|                                                                                                                                                                                                    | 339,824              |             |   | Federal Home Loan Mortgage Corp., 3.0%, 1/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 349,856                                                                                             |
|                                                                                                                                                                                                    | 332,674              |             |   | Federal Home Loan Mortgage Corp., 3.0%, 12/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 339,765                                                                                             |
|                                                                                                                                                                                                    | 193,542              |             |   | Federal Home Loan Mortgage Corp., 3.0%, 6/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 197,337                                                                                             |
|                                                                                                                                                                                                    | 112,752              |             |   | Federal Home Loan Mortgage Corp., 3.5%, 8/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 116,322                                                                                             |
|                                                                                                                                                                                                    | 207,013              |             |   | Federal Home Loan Mortgage Corp., 4.0%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 212,746                                                                                             |
|                                                                                                                                                                                                    | 273,416              |             |   | Federal Home Loan Mortgage Corp., 6.0%, 1/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 278,515                                                                                             |
|                                                                                                                                                                                                    | 1,325,652            | 0.70             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,338,208                                                                                           |
|                                                                                                                                                                                                    | 171,622              | 0.45             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 172,573                                                                                             |
|                                                                                                                                                                                                    | 78,417               | 0.52             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 78,683                                                                                              |
|                                                                                                                                                                                                    | 284,512              | 0.65             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 287,064                                                                                             |
|                                                                                                                                                                                                    | 345,277              | 0.55             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 346,563                                                                                             |
|                                                                                                                                                                                                    | 301,762              | 0.77             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 304,457                                                                                             |
|                                                                                                                                                                                                    | 807,389              | 0.51             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 807,213                                                                                             |
|                                                                                                                                                                                                    | 500,911              | 0.55             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 503,574                                                                                             |
|                                                                                                                                                                                                    | 56,917               | 0.35             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 56,924                                                                                              |
|                                                                                                                                                                                                    | 293,016              | 0.70             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 296,454                                                                                             |
|                                                                                                                                                                                                    | 439,252              | 0.70             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 445,994                                                                                             |
|                                                                                                                                                                                                    | 120,621              | 0.50             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 120,667                                                                                             |
|                                                                                                                                                                                                    | 806,143              | 3.51             |   | Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 836,903                                                                                             |
|                                                                                                                                                                                                    | 6,142                |             |   | Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 6,141                                                                                               |
|                                                                                                                                                                                                    | 121,149              |             |   | Federal National Mortgage Association REMICS, 1.5%, 11/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 121,253                                                                                             |
|                                                                                                                                                                                                    | 223,597              |             |   | Federal National Mortgage Association REMICS, 1.75%, 12/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 224,082                                                                                             |
|                                                                                                                                                                                                    | 520,933              |             |   | Federal National Mortgage Association REMICS, 3.0%, 1/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 533,339                                                                                             |
|                                                                                                                                                                                                    | 106,864              |             |   | Federal National Mortgage Association REMICS, 3.0%, 4/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 108,870                                                                                             |
|                                                                                                                                                                                                    | 221,381              |             |   | Federal National Mortgage Association REMICS, 3.5%, 10/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 228,257                                                                                             |
|                                                                                                                                                                                                    | 171,750              |             |   | Federal National Mortgage Association REMICS, 4.0%, 5/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 171,849                                                                                             |
|                                                                                                                                                                                                    | 7,437                |             |   | Federal National Mortgage Association REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 7,598                                                                                               |
|                                                                                                                                                                                                    | 89,884               |             |   | Federal National Mortgage Association REMICS, 6.0%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 101,847                                                                                             |
|                                                                                                                                                                                                    | 57,649               | 0.85             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 58,671                                                                                              |
|                                                                                                                                                                                                    | 42,500               | 1.05             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 42,533                                                                                              |
|                                                                                                                                                                                                    | 75,565               | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 76,084                                                                                              |
|                                                                                                                                                                                                    | 150,028              | 0.50             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 150,352                                                                                             |
|                                                                                                                                                                                                    | 349,017              | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 350,815                                                                                             |
|                                                                                                                                                                                                    | 146,185              | 1.42             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 149,454                                                                                             |
|                                                                                                                                                                                                    | 957,013              | 0.42             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 951,783                                                                                             |
|                                                                                                                                                                                                    | 363,429              | 1.20             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 373,128                                                                                             |
|                                                                                                                                                                                                    | 255,100              | 0.56             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 256,200                                                                                             |
|                                                                                                                                                                                                    | 349,080              | 0.90             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 353,940                                                                                             |
|                                                                                                                                                                                                    | 207,025              | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 208,136                                                                                             |
|                                                                                                                                                                                                    | 110,580              | 1.10             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 112,723                                                                                             |
|                                                                                                                                                                                                    | 566,383              | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 573,639                                                                                             |
|                                                                                                                                                                                                    | 138,631              | 0.82             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 139,736                                                                                             |
|                                                                                                                                                                                                    | 184,000              | 0.55             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 185,415                                                                                             |
|                                                                                                                                                                                                    | 165,736              | 0.51             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 165,942                                                                                             |
|                                                                                                                                                                                                    | 124,958              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 125,199                                                                                             |
|                                                                                                                                                                                                    | 149,775              | 0.40             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 149,794                                                                                             |
|                                                                                                                                                                                                    | 90,399               | 0.65             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 90,768                                                                                              |
|                                                                                                                                                                                                    | 131,189              | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 132,708                                                                                             |
|                                                                                                                                                                                                    | 257,398              | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 259,832                                                                                             |
|                                                                                                                                                                                                    | 164,723              | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 165,768                                                                                             |
|                                                                                                                                                                                                    | 182,633              | 0.55             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 183,396                                                                                             |
|                                                                                                                                                                                                    | 1,046,077            | 0.50             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,048,904                                                                                           |
|                                                                                                                                                                                                    | 192,997              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 193,663                                                                                             |
|                                                                                                                                                                                                    | 182,875              | 0.56             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 183,855                                                                                             |
|                                                                                                                                                                                                    | 107,831              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 107,858                                                                                             |
|                                                                                                                                                                                                    | 220,295              | 0.55             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 220,400                                                                                             |
|                                                                                                                                                                                                    | 787,653              | 0.44             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 789,846                                                                                             |
|                                                                                                                                                                                                    | 500,964              | 1.10             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 510,556                                                                                             |
|                                                                                                                                                                                                    | 504,131              | 1.20             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 520,885                                                                                             |
|                                                                                                                                                                                                    | 59,825               | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 60,414                                                                                              |
|                                                                                                                                                                                                    | 260,331              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 259,777                                                                                             |
|                                                                                                                                                                                                    | 533,960              | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 538,932                                                                                             |
|                                                                                                                                                                                                    | 31,823               | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 31,849                                                                                              |
|                                                                                                                                                                                                    | 82,344               | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 82,903                                                                                              |
|                                                                                                                                                                                                    | 112,378              | 0.55             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 112,682                                                                                             |
|                                                                                                                                                                                                    | 185,124              | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 186,160                                                                                             |
|                                                                                                                                                                                                    | 244,411              | 0.75             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 246,220                                                                                             |
|                                                                                                                                                                                                    | 181,200              | 0.65             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 182,628                                                                                             |
|                                                                                                                                                                                                    | 212,431              | 0.44             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 212,154                                                                                             |
|                                                                                                                                                                                                    | 78,548               | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 78,711                                                                                              |
|                                                                                                                                                                                                    | 244,844              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 245,531                                                                                             |
|                                                                                                                                                                                                    | 95,031               | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 95,606                                                                                              |
|                                                                                                                                                                                                    | 89,338               | 0.60             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 90,208                                                                                              |
|                                                                                                                                                                                                    | 139,992              | 0.50             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 139,862                                                                                             |
|                                                                                                                                                                                                    | 283,221              | 0.45             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 283,175                                                                                             |
|                                                                                                                                                                                                    | 321,259              | 1.10             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 328,997                                                                                             |
|                                                                                                                                                                                                    | 231,509              | 0.50             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 232,769                                                                                             |
|                                                                                                                                                                                                    | 413,162              | 0.70             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 415,569                                                                                             |
|                                                                                                                                                                                                    | 134,137              | 0.55             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 134,274                                                                                             |
|                                                                                                                                                                                                    | 142,378              | 0.77             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 143,244                                                                                             |
|                                                                                                                                                                                                    | 253,309              | 0.77             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 256,371                                                                                             |
|                                                                                                                                                                                                    | 273,532              | 0.78             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 276,953                                                                                             |
|                                                                                                                                                                                                    | 68,323               | 0.77             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 69,080                                                                                              |
|                                                                                                                                                                                                    | 75,243               | 0.75             |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 75,800                                                                                              |
|                                                                                                                                                                                                    | 147,838              |             |   | Federal National Mortgage Association, 2.5%, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 150,115                                                                                             |
|                                                                                                                                                                                                    | 286,500              |             |   | Federal National Mortgage Association, 2.75%, 6/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 291,788                                                                                             |
|                                                                                                                                                                                                    | 348,405              |             |   | Federal National Mortgage Association, 3.0%, 6/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 354,255                                                                                             |
|                                                                                                                                                                                                    | 92,752               |             |   | Federal National Mortgage Association, 3.5%, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 92,905                                                                                              |
|                                                                                                                                                                                                    | 138,696              |             |   | Federal National Mortgage Association, 3.5%, 7/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 141,141                                                                                             |
|                                                                                                                                                                                                    | 4,276                |             |   | Federal National Mortgage Association, 5.0%, 7/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 4,273                                                                                               |
|                                                                                                                                                                                                    | 313,395              | 0.55             |   | Federal National Mortgage Association, Floating Rate Note, 10/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 315,865                                                                                             |
|                                                                                                                                                                                                    | 458,077              | 0.50             |   | Federal National Mortgage Association, Floating Rate Note, 11/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 460,406                                                                                             |
|                                                                                                                                                                                                    | 310,278              | 1.05             |   | Federal National Mortgage Association, Floating Rate Note, 2/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 316,435                                                                                             |
|                                                                                                                                                                                                    | 143,893              | 0.50             |   | Federal National Mortgage Association, Floating Rate Note, 3/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 144,002                                                                                             |
|                                                                                                                                                                                                    | 363,477              | 0.55             |   | Federal National Mortgage Association, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 364,668                                                                                             |
|                                                                                                                                                                                                    | 780,306              | 0.70             |   | Federal National Mortgage Association, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 788,125                                                                                             |
|                                                                                                                                                                                                    | 190,950              | 2.75             |   | Federal National Mortgage Association, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 204,738                                                                                             |
|                                                                                                                                                                                                    | 483,792              | 0.70             |   | Federal National Mortgage Association, Floating Rate Note, 6/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 489,577                                                                                             |
|                                                                                                                                                                                                    | 631,035              | 0.60             |   | Federal National Mortgage Association, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 634,871                                                                                             |
|                                                                                                                                                                                                    | 289,756              | 0.50             |   | Federal National Mortgage Association, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 290,281                                                                                             |
|                                                                                                                                                                                                    | 86,675               | 1.66             |   | Federal National Mortgage Association, Floating Rate Note, 9/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 88,596                                                                                              |
|                                                                                                                                                                                                    | 57,456               | 2.59             |   | First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 56,752                                                                                              |
|                                                                                                                                                                                                    | 61,261               | 1.82             |   | Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 61,582                                                                                              |
|                                                                                                                                                                                                    | 679,768              | 1.15             |   | Freddie Mac REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 700,434                                                                                             |
|                                                                                                                                                                                                    | 101,721              | 0.55             |   | Freddie Mac Strips, Floating Rate Note, 12/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 101,954                                                                                             |
|                                                                                                                                                                                                    | 254,390              | 0.50             |   | Freddie Mac Strips, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 254,267                                                                                             |
|                                                                                                                                                                                                    | 104,797              | 1.60             |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 104,802                                                                                             |
|                                                                                                                                                                                                    | 380,483              | 1.20             |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 380,629                                                                                             |
|                                                                                                                                                                                                    | 71,020               | 1.55             |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 71,015                                                                                              |
|                                                                                                                                                                                                    | 2,061,098            |             |   | Freddie Mac, 2.0%, 2/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,095,343                                                                                           |
|                                                                                                                                                                                                    | 1,153,186            |             |   | Freddie Mac, 3.5%, 10/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,184,556                                                                                           |
|                                                                                                                                                                                                    | 351,843              |             |   | Freddie Mac, 4.0%, 5/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 360,005                                                                                             |
|                                                                                                                                                                                                    | 488,556              |             |   | Freddie Mac, 5.5%, 12/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 499,103                                                                                             |
|                                                                                                                                                                                                    | 664,263              | 4.19             |   | FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 664,555                                                                                             |
|                                                                                                                                                                                                    | 409,000              | 3.54             |   | FREMF Mortgage Trust Class B, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 412,986                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 1.72             |   | Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 702,634                                                                                             |
|                                                                                                                                                                                                    | 195,958              |             |   | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 189,499                                                                                             |
|                                                                                                                                                                                                    | 710,635              | 0.49             |   | Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 680,606                                                                                             |
|                                                                                                                                                                                                    | 730,237              | 5.23             |   | GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 729,690   |
|                                                                                                                                                                                                    | 199,309              | 2.93             |   | GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 189,159                                                                                             |
|                                                                                                                                                                                                    | 2,359,900            |             |   | Government National Mortgage Association REMICS, 2.0%, 1/16/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,371,768                                                                                           |
|                                                                                                                                                                                                    | 1,915,850            |             |   | Government National Mortgage Association REMICS, 4.0%, 9/20/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,986,765                                                                                           |
|                                                                                                                                                                                                    | 79,486               |             |   | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 81,108                                                                                              |
|                                                                                                                                                                                                    | 634,760              |             |   | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 641,233                                                                                             |
|                                                                                                                                                                                                    | 203,646              |             |   | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 210,319                                                                                             |
|                                                                                                                                                                                                    | 350,453              |             |   | Government National Mortgage Association, 3.5%, 5/20/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 364,026                                                                                             |
|                                                                                                                                                                                                    | 224,427              |             |   | Government National Mortgage Association, 3.5%, 8/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 229,098                                                                                             |
|                                                                                                                                                                                                    | 65,194               |             |   | Government National Mortgage Association, 5.0%, 4/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 67,643                                                                                              |
|                                                                                                                                                                                                    | 228,808              | 0.45             |   | Government National Mortgage Association, Floating Rate Note, 1/16/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 229,108                                                                                             |
|                                                                                                                                                                                                    | 553,793              | 0.75             |   | Government National Mortgage Association, Floating Rate Note, 1/16/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 560,496                                                                                             |
|                                                                                                                                                                                                    | 179,249              | 0.85             |   | Government National Mortgage Association, Floating Rate Note, 2/16/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 181,603                                                                                             |
|                                                                                                                                                                                                    | 224,104              | 0.46             |   | Government National Mortgage Association, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 224,491                                                                                             |
|                                                                                                                                                                                                    | 166,914              | 0.71             |   | Government National Mortgage Association, Floating Rate Note, 2/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 168,590                                                                                             |
|                                                                                                                                                                                                    | 219,433              | 0.50             |   | Government National Mortgage Association, Floating Rate Note, 4/16/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 220,032                                                                                             |
|                                                                                                                                                                                                    | 121,650              | 0.70             |   | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 122,942                                                                                             |
|                                                                                                                                                                                                    | 521,793              | 0.75             |   | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 528,203                                                                                             |
|                                                                                                                                                                                                    | 418,426              | 0.51             |   | Government National Mortgage Association, Floating Rate Note, 8/20/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 414,211                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 1.50             |   | GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 993,046                                                                                             |
|                                                                                                                                                                                                    | 896,290              | 5.79             |   | GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 934,158                                                                                             |
|                                                                                                                                                                                                    | 495,000              | 1.95             |   | GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 492,707                                                                                             |
|                                                                                                                                                                                                    | 329,361              | 0.98             |   | GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 319,849                                                                                             |
|                                                                                                                                                                                                    | 167,749              | 2.74             |   | HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 167,001                                                                                             |
|                                                                                                                                                                                                    | 1,074,157            | 1.69             |   | Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,074,054                                                                                           |
|                                                                                                                                                                                                    | 250,000              | 2.52             |   | Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 257,948                                                                                             |
|                                                                                                                                                                                                    | 325,610              | 1.32             |   | Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 322,378                                                                                             |
|                                                                                                                                                                                                    | 1,290,276            | 0.86             |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,236,716                                                                                           |
|                                                                                                                                                                                                    | 218,278              | 0.92             |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 214,939                                                                                             |
|                                                                                                                                                                                                    | 170,129              | 0.67             |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 168,754                                                                                             |
|                                                                                                                                                                                                    | 1,233,434            | 0.86             |   | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,178,165                                                                                           |
|                                                                                                                                                                                                    | 550,455              | 0.84             |   | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 525,958                                                                                             |
|                                                                                                                                                                                                    | 109,528              | 1.02             |   | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 104,354                                                                                             |
|                                                                                                                                                                                                    | 64,549               | 2.82             |   | Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 61,964                                                                                              |
|                                                                                                                                                                                                    | 733,614              | 0.87             |   | Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 631,189                                                                                             |
|                                                                                                                                                                                                    | 265,991              | 0.55             |   | Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 259,817                                                                                             |
|                                                                                                                                                                                                    | 495,686              | 0.42             |   | Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 465,785                                                                                             |
|                                                                                                                                                                                                    | 64,880               | 2.75             |   | IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 62,386                                                                                              |
|                                                                                                                                                                                                    | 69,801               | 4.84             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 69,479    |
|                                                                                                                                                                                                    | 438,604              | 0.48             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 429,966   |
|                                                                                                                                                                                                    | 184,066              | 0.56             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 176,174   |
|                                                                                                                                                                                                    | 500,000              | 5.56             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 503,041   |
|                                                                                                                                                                                                    | 88,022               | 0.35             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 87,378    |
|                                                                                                                                                                                                    | 750,286              |             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 772,104                                                                                             |
|                                                                                                                                                                                                    | 1,670,000            | 1.45             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,668,348 |
|                                                                                                                                                                                                    | 700,000              | 2.15             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 694,028   |
|                                                                                                                                                                                                    | 1,030,000            | 1.70             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,029,934 |
|                                                                                                                                                                                                    | 945,000              | 2.20             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 945,094   |
|                                                                                                                                                                                                    | 342,193              | 1.95             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 341,133   |
|                                                                                                                                                                                                    | 650,000              | 2.30             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 647,302   |
|                                                                                                                                                                                                    | 490,000              | 1.55             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 490,397   |
|                                                                                                                                                                                                    | 1,170,000            | 1.60             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,165,102 |
|                                                                                                                                                                                                    | 900,000              | 1.12             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 894,368   |
|                                                                                                                                                                                                    | 650,000              | 1.90             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 647,902   |
|                                                                                                                                                                                                    | 1,100,000            | 1.80             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,099,195 |
|                                                                                                                                                                                                    | 700,000              | 2.45             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 695,746   |
|                                                                                                                                                                                                    | 850,000              | 2.00             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 840,139   |
|                                                                                                                                                                                                    | 500,000              | 2.95             |   | JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 500,905   |
|                                                                                                                                                                                                    | 235,656              | 2.62             |   | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 240,167                                                                                             |
|                                                                                                                                                                                                    | 119,208              |             |   | JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 123,072                                                                                             |
|                                                                                                                                                                                                    | 437,206              | 2.11             |   | JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 427,613                                                                                             |
|                                                                                                                                                                                                    | 8,474                |             |   | JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 192                                                                                                 |
|                                                                                                                                                                                                    | 1,337,384            | 0.72             |   | JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,276,364                                                                                           |
|                                                                                                                                                                                                    | 579,466              | 4.25             |   | La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 567,877                                                                                             |
|                                                                                                                                                                                                    | 211,993              | 0.88             |   | Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 212,068                                                                                             |
|                                                                                                                                                                                                    | 17,382               |             |   | LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 17,470                                                                                              |
|                                                                                                                                                                                                    | 248,406              |             |   | LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 248,394                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 5.84             |   | LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 508,296                                                                                             |
|                                                                                                                                                                                                    | 149,554              | 1.15             |   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class 1A4, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 148,848   |
|                                                                                                                                                                                                    | 236,997              | 1.25             |   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 236,932   |
|                                                                                                                                                                                                    | 332,307              | 0.42             |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 312,369                                                                                             |
|                                                                                                                                                                                                    | 400,945              | 0.43             |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 377,890                                                                                             |
|                                                                                                                                                                                                    | 1,600,749            | 2.19             |   | LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,580,970                                                                                           |
|                                                                                                                                                                                                    | 857,421              | 2.19             |   | LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 844,234                                                                                             |
|                                                                                                                                                                                                    | 952,995              | 2.19             |   | LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 935,736                                                                                             |
|                                                                                                                                                                                                    | 629,030              | 2.19             |   | LSTAR Securities Investment Trust 2015-8, Floating Rate Note, 8/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 616,954                                                                                             |
|                                                                                                                                                                                                    | 380,008              | 0.57             |   | MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 373,013                                                                                             |
|                                                                                                                                                                                                    | 42,823               | 0.60             |   | MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 41,603                                                                                              |
|                                                                                                                                                                                                    | 544,454              | 0.96             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 516,245                                                                                             |
|                                                                                                                                                                                                    | 282,276              | 1.35             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 263,564                                                                                             |
|                                                                                                                                                                                                    | 389,136              | 0.90             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 376,623                                                                                             |
|                                                                                                                                                                                                    | 563,257              | 0.88             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 535,608   |
|                                                                                                                                                                                                    | 275,659              | 1.14             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 271,695                                                                                             |
|                                                                                                                                                                                                    | 341,844              | 0.84             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 326,628                                                                                             |
|                                                                                                                                                                                                    | 165,903              | 0.86             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 158,822                                                                                             |
|                                                                                                                                                                                                    | 41,068               | 1.96             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 40,870                                                                                              |
|                                                                                                                                                                                                    | 337,776              | 0.86             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 332,520                                                                                             |
|                                                                                                                                                                                                    | 702,030              | 0.68             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 673,925   |
|                                                                                                                                                                                                    | 485,943              | 0.78             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 450,195                                                                                             |
|                                                                                                                                                                                                    | 550,407              | 1.25             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 532,203                                                                                             |
|                                                                                                                                                                                                    | 556,266              | 0.78             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 523,612                                                                                             |
|                                                                                                                                                                                                    | 248,510              | 1.04             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 241,543                                                                                             |
|                                                                                                                                                                                                    | 387,180              | 0.68             |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 375,957                                                                                             |
|                                                                                                                                                                                                    | 1,150,000            | 5.78             |   | Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,174,751                                                                                           |
|                                                                                                                                                                                                    | 1,000,000            | 5.84             |   | Merrill Lynch Mortgage Trust 2007-C1, Floating Rate Note, 6/12/50                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,036,329                                                                                           |
|                                                                                                                                                                                                    | 911,805              | 5.65             |   | ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 911,426                                                                                             |
|                                                                                                                                                                                                    | 800,000              | 6.08             |   | ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 810,977                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 5.79             |   | Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 610,761                                                                                             |
|                                                                                                                                                                                                    | 555,098              | 6.02             |   | Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 562,680                                                                                             |
|                                                                                                                                                                                                    | 453,961              |             |   | Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 474,745                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 2.40             |   | Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 496,878                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 0.00             |   | Morgan Stanley Capital I Trust 2015-XLF2, Floating Rate Note, 8/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 600,743                                                                                             |
|                                                                                                                                                                                                    | 512,173              | 0.49             |   | Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 507,561                                                                                             |
|                                                                                                                                                                                                    | 330,157              | 0.50             |   | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 319,136                                                                                             |
|                                                                                                                                                                                                    | 234,768              | 0.49             |   | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 233,503                                                                                             |
|                                                                                                                                                                                                    | 555,003              | 1.00             |   | MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 527,167                                                                                             |
|                                                                                                                                                                                                    | 656,010              | 0.96             |   | MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 633,957                                                                                             |
|                                                                                                                                                                                                    | 288,088              | 0.64             |   | NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 286,569                                                                                             |
|                                                                                                                                                                                                    | 55,614               | 0.65             |   | NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 55,007                                                                                              |
|                                                                                                                                                                                                    | 149,551              |             |   | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 155,602   |
|                                                                                                                                                                                                    | 897,553              | 3.11             |   | Nomura Resecuritization Trust 2011-4R, Floating Rate Note, 6/26/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 900,461                                                                                             |
|                                                                                                                                                                                                    | 400,292              | 0.34             |   | Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 386,535                                                                                             |
|                                                                                                                                                                                                    | 354,097              | 2.07             |   | NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 354,429                                                                                             |
|                                                                                                                                                                                                    | 1,182,164            | 0.61             |   | Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,091,644                                                                                           |
|                                                                                                                                                                                                    | 1,190,944            | 0.53             |   | Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,119,299                                                                                           |
|                                                                                                                                                                                                    | 164,484              |             |   | ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 164,484                                                                                             |
|                                                                                                                                                                                                    | 63,298               |             |   | ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 63,235                                                                                              |
|                                                                                                                                                                                                    | 9,406                |             |   | PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 9,383                                                                                               |
|                                                                                                                                                                                                    | 326,393              |             |   | RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 332,038                                                                                             |
|                                                                                                                                                                                                    | 1,500,000            | 2.34             |   | RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,468,160                                                                                           |
|                                                                                                                                                                                                    | 881,726              | 1.44             |   | RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 879,497                                                                                             |
|                                                                                                                                                                                                    | 107,134              | 0.75             |   | RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 104,103                                                                                             |
|                                                                                                                                                                                                    | 546,625              | 0.70             |   | RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 509,287                                                                                             |
|                                                                                                                                                                                                    | 21,301               |             |   | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 21,554                                                                                              |
|                                                                                                                                                                                                    | 110,421              |             |   | RALI Series 2003-QS15 Trust, 5.5%, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 113,471                                                                                             |
|                                                                                                                                                                                                    | 242,250              | 0.65             |   | RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 237,233                                                                                             |
|                                                                                                                                                                                                    | 182,150              |             |   | RALI Series 2004-QS5 Trust, 4.75%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 185,767                                                                                             |
|                                                                                                                                                                                                    | 454,465              | 0.80             |   | RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 449,473                                                                                             |
|                                                                                                                                                                                                    | 768,766              | 0.52             |   | RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 734,471                                                                                             |
|                                                                                                                                                                                                    | 35,317               | 6.35             |   | RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 35,526                                                                                              |
|                                                                                                                                                                                                    | 49,722               | 0.59             |   | Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 49,568                                                                                              |
|                                                                                                                                                                                                    | 1,131,269            | 1.64             |   | RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,074,951                                                                                           |
|                                                                                                                                                                                                    | 367,627              | 1.04             |   | RESI MAC, 2014-1A, Floating Rate Note, 6/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 367,206                                                                                             |
|                                                                                                                                                                                                    | 1,179,426            | 0.62             |   | Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,083,810                                                                                           |
|                                                                                                                                                                                                    | 1,203,086            | 1.25             |   | Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,195,864                                                                                           |
|                                                                                                                                                                                                    | 406,630              | 2.35             |   | Resource Capital Corp. CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 406,653                                                                                             |
|                                                                                                                                                                                                    | 122,717              |             |   | RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 125,310                                                                                             |
|                                                                                                                                                                                                    | 100,721              |             |   | Rialto Capital Management LLC, 2.85%, 5/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 100,721                                                                                             |
|                                                                                                                                                                                                    | 257,327              |             |   | RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 257,327                                                                                             |
|                                                                                                                                                                                                    | 525,832              |             |   | RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 525,715                                                                                             |
|                                                                                                                                                                                                    | 692,146              |             |   | Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 685,510                                                                                             |
|                                                                                                                                                                                                    | 773,529              | 0.83             |   | Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 753,745                                                                                             |
|                                                                                                                                                                                                    | 179,600              | 0.85             |   | Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 169,366                                                                                             |
|                                                                                                                                                                                                    | 187,586              | 1.77             |   | Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 188,878                                                                                             |
|                                                                                                                                                                                                    | 606,315              | 0.96             |   | Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 574,104                                                                                             |
|                                                                                                                                                                                                    | 290,463              | 2.25             |   | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 281,386                                                                                             |
|                                                                                                                                                                                                    | 126,496              | 3.00             |   | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 123,022                                                                                             |
|                                                                                                                                                                                                    | 277,235              |             |   | SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 275,347                                                                                             |
|                                                                                                                                                                                                    | 290,000              | 1.97             |   | Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 294,373                                                                                             |
|                                                                                                                                                                                                    | 630,000              |             |   | Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 618,118                                                                                             |
|                                                                                                                                                                                                    | 115,628              | 2.93             |   | Structured Adjustable Rate Mortgage Loan Trust Class 1A1, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 114,746                                                                                             |
|                                                                                                                                                                                                    | 97,836               | 2.54             |   | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 96,723                                                                                              |
|                                                                                                                                                                                                    | 888,376              | 1.10             |   | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 816,089                                                                                             |
|                                                                                                                                                                                                    | 1,107,168            | 0.88             |   | Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,074,894                                                                                           |
|                                                                                                                                                                                                    | 537,096              | 5.67             |   | Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 445,265                                                                                             |
|                                                                                                                                                                                                    | 77,954               | 0.70             |   | Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 77,479    |
|                                                                                                                                                                                                    | 345,173              | 1.10             |   | Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 332,614                                                                                             |
|                                                                                                                                                                                                    | 119,542              | 2.56             |   | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 118,623   |
|                                                                                                                                                                                                    | 50,693               |             |   | Structured Asset Securities Corp. Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 51,578                                                                                              |
|                                                                                                                                                                                                    | 835,730              | 2.42             |   | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-24A, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 822,424   |
|                                                                                                                                                                                                    | 184,920              | 0.72             |   | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-35, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 183,475   |
|                                                                                                                                                                                                    | 114,998              | 2.25             |   | Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 114,152                                                                                             |
|                                                                                                                                                                                                    | 184,233              | 1.64             |   | Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 179,602                                                                                             |
|                                                                                                                                                                                                    | 1,256,397            | 0.96             |   | Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,169,036                                                                                           |
|                                                                                                                                                                                                    | 162,984              | 1.87             |   | Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 160,542                                                                                             |
|                                                                                                                                                                                                    | 525,000              |             |   | TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 540,807                                                                                             |
|                                                                                                                                                                                                    | 487,116              | 2.21             |   | Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 483,462                                                                                             |
|                                                                                                                                                                                                    | 907,249              | 2.63             |   | Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 913,509                                                                                             |
|                                                                                                                                                                                                    | 324,238              |             |   | VFC 2014-2 LLC, 2.75%, 7/20/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 323,961                                                                                             |
|                                                                                                                                                                                                    | 167,829              |             |   | VFC 2015-3 LLC, 2.75%, 12/20/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 167,654                                                                                             |
|                                                                                                                                                                                                    | 272,000              | 5.66             |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 272,552                                                                                             |
|                                                                                                                                                                                                    | 188,994              | 5.72             |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 189,193                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 5.90             |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 504,411                                                                                             |
|                                                                                                                                                                                                    | 318,569              | 1.64             |   | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 307,285   |
|                                                                                                                                                                                                    | 365,726              |             |   | WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 370,050                                                                                             |
|                                                                                                                                                                                                    | 444,910              |             |   | Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 444,502                                                                                             |
|                                                                                                                                                                                                    | 1,250,000            | 2.05             |   | Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,229,781 |
|                                                                                                                                                                                                    | 189,357              | 0.80             |   | Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 186,758                                                                                             |
|                                                                                                                                                                                                    | 238,802              | 0.54             |   | Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 233,850                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 191,542,976                                                                                         |
|                                                                                                                                                                                                    |                 |             |   | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $193,162,851)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 191,542,976                                                                                         |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | CORPORATE BONDS - 31.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Energy - 2.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Equipment & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 775,000              |             |   | National Oilwell Varco, Inc., 1.35%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 766,744                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Integrated Oil & Gas - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | ConocoPhillips Co., 1.05%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 991,459                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.53             |   | Shell International Finance BV, Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 750,168                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Total Capital International SA, 0.75%, 1/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 500,130                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Total Capital International SA, 1.0%, 8/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,056                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,742,813                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Exploration & Production - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 277,000              | 0.66             |   | Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 276,460                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Hess Corp., 1.3%, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 739,930                                                                                             |
|                                                                                                                                                                                                    | 800,000              |             |   | WPX Energy, Inc., 7.5%, 8/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 754,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,770,390                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Refining & Marketing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | GS Caltex Corp., 3.25%, 10/1/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 507,338                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Phillips 66, 2.95%, 5/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 764,378                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,271,716                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Storage & Transportation - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 700,000              |             |   | Boardwalk Pipelines LP, 5.5%, 2/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 711,482                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.93             |   | Enbridge, Inc., Floating Rate Note, 10/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 495,329                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Energy Transfer Partners LP, 2.5%, 6/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 732,352                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Enterprise Products Operating LLC, 1.65%, 5/7/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 740,275                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Enterprise Products Operating LLC, 3.2%, 2/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,003,648                                                                                           |
|                                                                                                                                                                                                    | 700,000              |             |   | Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 678,997                                                                                             |
|                                                                                                                                                                                                    | 720,000              |             |   | ONEOK Partners LP, 6.15%, 10/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 739,262                                                                                             |
|                                                                                                                                                                                                    | 375,000              |             |   | TransCanada PipeLines, Ltd., 1.875%, 1/12/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 375,196                                                                                             |
|                                                                                                                                                                                                    | 690,000              | 0.96             |   | TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 689,802                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 6,166,343                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 12,718,006                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Materials - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Fertilizers & Agricultural Chemicals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Monsanto Co., 1.15%, 6/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 992,845                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Diversified Metals & Mining - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 0.53             |   | BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 498,714                                                                                             |
|                                                                                                                                                                                                    | 560,000              | 1.12             |   | Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 560,400                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,059,114                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Steel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            | 1.49             |   | Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 976,649                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 3,028,608                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Capital Goods - 1.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Aerospace & Defense - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 586,000              |             |   | L-3 Communications Corp., 1.5%, 5/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 575,116                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Precision Castparts Corp., 1.25%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 498,416                                                                                             |
|                                                                                                                                                                                                    | 1,050,000            |             |   | The Boeing Co., 0.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,040,256                                                                                           |
|                                                                                                                                                                                                    | 500,000              |             |   | United Technologies Corp., 1.778%, 5/4/18 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 497,088                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,610,876                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Construction & Farm Machinery & Heavy Trucks - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 1,098,000            |             |   | John Deere Capital Corp., 1.05%, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,101,338                                                                                           |
|                                                                                                                                                                                                    | 750,000              |             |   | John Deere Capital Corp., 1.05%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 751,597                                                                                             |
|                                                                                                                                                                                                    | 1,090,000            | 0.58             |   | John Deere Capital Corp., Floating Rate Note, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,091,207                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,944,142                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Industrial Machinery - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              |             |   | Xylem, Inc. New York, 3.55%, 9/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 762,918                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Trading Companies & Distributors - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 1,100,000            |             |   | Aircastle, Ltd., 6.75%, 4/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,152,250                                                                                           |
|                                                                                                                                                                                                    | 750,000              |             |   | Aviation Capital Group Corp., 2.875%, 9/17/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 742,500                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | GATX Corp., 1.25%, 3/4/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 743,596                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,638,346                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 8,956,282                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Automobiles & Components - 1.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Auto Parts & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 700,000              |             |   | Johnson Controls, Inc., 1.4%, 11/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 692,885                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Automobile Manufacturers - 1.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Daimler Finance North America LLC, 1.45%, 8/1/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,001,660                                                                                           |
|                                                                                                                                                                                                    | 750,000              | 0.63             |   | Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 745,647                                                                                             |
|                                                                                                                                                                                                    | 617,000              | 0.64             |   | Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 611,564                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Ford Motor Credit Co. LLC, 1.7%, 5/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,306                                                                                             |
|                                                                                                                                                                                                    | 700,000              |             |   | Ford Motor Credit Co. LLC, 1.724%, 12/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 692,459                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | Ford Motor Credit Co. LLC, 2.375%, 1/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 250,515                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Ford Motor Credit Co. LLC, 2.875%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,007,144                                                                                           |
|                                                                                                                                                                                                    | 500,000              | 0.91             |   | Ford Motor Credit Co. LLC, Floating Rate Note, 3/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 495,951                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.80             |   | Ford Motor Credit Co. LLC, Floating Rate Note, 9/8/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 740,510                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,016,462                                                                                           |
|                                                                                                                                                                                                    | 500,000              | 0.83             |   | Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 499,196                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Toyota Motor Credit Corp., 1.125%, 5/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 750,133                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.55             |   | Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 988,715                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Volkswagen International Finance NV, 1.125%, 11/18/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 739,500                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Volkswagen International Finance NV, 1.6%, 11/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 481,359                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 10,522,121                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 11,215,006                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Consumer Durables & Apparel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Homebuilding - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    | 650,000              |             |   | DR Horton, Inc., 4.0%, 2/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 660,725                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 660,725                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 605,000              |             |   | Starbucks Corp., 0.875%, 12/5/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 605,745                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 605,745                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Media - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Publishing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 250,000              |             |   | Thomson Reuters Corp., 0.875%, 5/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 249,998                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Thomson Reuters Corp., 1.3%, 2/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 497,703                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 747,701                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 747,701                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Retailing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Home Improvement Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              | 0.71             |   | The Home Depot, Inc., Floating Rate Note, 9/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 752,370                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Automotive Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 472,418                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,224,788                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Food & Staples Retailing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              | 0.77             |   | Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 749,546                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Hypermarkets & Super Centers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 740,000              |             |   | Costco Wholesale Corp., 1.125%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 739,608                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,489,154                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Food, Beverage & Tobacco - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Brewers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 0.51             |   | Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 498,560                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Packaged Foods & Meats - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              | 0.69             |   | ConAgra Foods, Inc., Floating Rate Note, 7/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 748,114                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | General Mills, Inc., 0.875%, 1/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 250,040                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,005,885                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,004,039                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,502,599                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Household Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 502,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 502,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Health Care Equipment & Services - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Health Care Equipment - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Baxter International, Inc., 0.95%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 499,844                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Becton Dickinson and Co., 1.45%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 749,171                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Becton Dickinson and Co., 1.8%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 751,733                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Boston Scientific Corp., 2.65%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 503,892                                                                                             |
|                                                                                                                                                                                                    | 510,000              |             |   | St. Jude Medical, Inc., 2.5%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 511,082                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,015,722                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Health Care Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              |             |   | Express Scripts Holding Co., 2.25%, 6/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 746,310                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Express Scripts Holding Co., 3.125%, 5/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,009,381                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,755,691                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | UnitedHealth Group, Inc., 1.875%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 504,944                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 5,276,357                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Pharmaceuticals, Biotechnology & Life Sciences - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Biotechnology - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Amgen, Inc., 2.5%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 506,848                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Gilead Sciences, Inc., 1.85%, 9/4/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 756,398                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,263,246                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Pharmaceuticals - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              |             |   | Bayer US Finance LLC, 1.5%, 10/6/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 751,452                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.51             |   | Pfizer, Inc., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 748,850                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Zoetis, Inc., 1.15%, 2/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,183                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,000,485                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Life Sciences Tools & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Thermo Fisher Scientific, Inc., 2.4%, 2/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,003,490                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,267,221                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Banks - 8.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Diversified Banks - 4.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              | 0.69             |   | Abbey National Treasury Services Plc, Floating Rate Note, 9/29/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 746,261                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | ABN AMRO Bank NV, 1.375%, 1/22/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,012                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 1.09             |   | ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 752,842                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,001,754                                                                                           |
|                                                                                                                                                                                                    | 1,075,000            |             |   | Bank of America Corp., 1.25%, 1/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,075,499                                                                                           |
|                                                                                                                                                                                                    | 500,000              |             |   | Bank of America Corp., 1.35%, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 501,207                                                                                             |
|                                                                                                                                                                                                    | 408,000              | 0.94             |   | Bank of America Corp., Floating Rate Note, 8/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 407,273                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Bank of America NA, 1.75%, 6/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,044                                                                                             |
|                                                                                                                                                                                                    | 229,000              | 0.90             |   | Barclays Bank Plc, Floating Rate Note, 2/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 228,779                                                                                             |
|                                                                                                                                                                                                    | 550,000              | 1.55             |   | BPCE SA, Floating Rate Note, 4/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 551,861                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Citigroup, Inc., 1.3%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 500,664                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Citigroup, Inc., 1.8%, 2/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 749,658                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 1.00             |   | Citigroup, Inc., Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 751,285                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.12             |   | Citigroup, Inc., Floating Rate Note, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,492                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 1.28             |   | Citigroup, Inc., Floating Rate Note, 7/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 751,849                                                                                             |
|                                                                                                                                                                                                    | 650,000              | 0.65             |   | Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 649,970                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.55             |   | Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 747,236                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.77             |   | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 500,428   |
|                                                                                                                                                                                                    | 750,000              | 0.58             |   | HSBC USA, Inc., Floating Rate Note, 6/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 746,601                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Intesa Sanpaolo S.p.A., 3.125%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,308                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.84             |   | JPMorgan Chase & Co., Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 499,465                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 2.19             |   | JPMorgan Chase & Co., Floating Rate Note, 2/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,000                                                                                             |
|                                                                                                                                                                                                    | 320,000              | 0.95             |   | JPMorgan Chase & Co., Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 320,223                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 0.77             |   | Nordea Bank AB, Floating Rate Note, 5/13/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 250,242                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Royal Bank of Canada, 1.45%, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,005,260                                                                                           |
|                                                                                                                                                                                                    | 550,000              | 0.62             |   | Royal Bank of Canada, Floating Rate Note, 1/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 550,118                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.53             |   | Royal Bank of Canada, Floating Rate Note, 6/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 997,655                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.71             |   | Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 748,886                                                                                             |
|                                                                                                                                                                                                    | 300,000              | 0.96             |   | Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 300,638                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.11             |   | Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 501,218                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.75             |   | Svenska Handelsbanken AB, Floating Rate Note, 9/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,001,742                                                                                           |
|                                                                                                                                                                                                    | 500,000              |             |   | The Bank of Nova Scotia, 1.1%, 12/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,158                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | The Bank of Nova Scotia, 1.375%, 7/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 502,002                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | The Bank of Nova Scotia, 1.45%, 4/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 496,365                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,004,140                                                                                           |
|                                                                                                                                                                                                    | 305,000              |             |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 310,071                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.74             |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 499,113                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.64             |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 495,820                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | The Huntington National Bank, 1.3%, 11/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 499,996                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.72             |   | The Huntington National Bank, Floating Rate Note, 4/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 497,434                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.92             |   | The Korea Development Bank, Floating Rate Note, 1/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 750,296                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | The Toronto-Dominion Bank, 1.4%, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 497,692                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.54             |   | The Toronto-Dominion Bank, Floating Rate Note, 5/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 498,870                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.74             |   | The Toronto-Dominion Bank, Floating Rate Note, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,977                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Wells Fargo & Co., 1.25%, 7/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,570                                                                                             |
|                                                                                                                                                                                                    | 575,000              | 0.95             |   | Wells Fargo & Co., Floating Rate Note, 4/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 576,250                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.66             |   | Westpac Banking Corp., Floating Rate Note, 5/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 998,449                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 28,719,673                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Regional Banks - 3.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    | 103,000              |             |   | BB&T Corp., 1.6%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 103,327                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Branch Banking & Trust Co., 1.35%, 10/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 499,488                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Branch Banking & Trust Co., 2.3%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 506,952                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 0.63             |   | Branch Banking & Trust Co., Floating Rate Note, 5/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 248,751                                                                                             |
|                                                                                                                                                                                                    | 970,000              | 0.66             |   | Branch Banking & Trust Co., Floating Rate Note, 9/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 968,329                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Capital One NA, 2.35%, 8/17/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 750,285                                                                                             |
|                                                                                                                                                                                                    | 700,000              | 0.77             |   | Capital One NA, Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 699,576                                                                                             |
|                                                                                                                                                                                                    | 730,000              | 0.77             |   | Fifth Third Bancorp, Floating Rate Note, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 727,216                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 750,420                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.74             |   | Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 500,116                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | KeyBank NA Cleveland Ohio, 1.1%, 11/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 500,192                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | KeyBank NA Cleveland Ohio, 1.65%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 997,524                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.67             |   | Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 499,438                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.60             |   | Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 996,484                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | MUFG Union Bank NA, 2.625%, 9/26/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,013,606                                                                                           |
|                                                                                                                                                                                                    | 1,450,000            | 1.08             |   | MUFG Union Bank NA, Floating Rate Note, 9/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,452,780                                                                                           |
|                                                                                                                                                                                                    | 250,000              | 0.69             |   | National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 249,274                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.47             |   | Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,000,059                                                                                           |
|                                                                                                                                                                                                    | 450,000              |             |   | PNC Bank NA, 0.8%, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 450,134                                                                                             |
|                                                                                                                                                                                                    | 450,000              |             |   | PNC Bank NA, 1.125%, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 449,549                                                                                             |
|                                                                                                                                                                                                    | 550,000              |             |   | PNC Bank NA, 1.3%, 10/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 552,137                                                                                             |
|                                                                                                                                                                                                    | 600,000              |             |   | PNC Bank NA, 1.6%, 6/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 598,481                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.60             |   | PNC Bank NA, Floating Rate Note, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,109                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.60             |   | PNC Bank NA, Floating Rate Note, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 747,221                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | SunTrust Bank, 1.35%, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 499,391                                                                                             |
|                                                                                                                                                                                                    | 805,000              | 0.76             |   | SunTrust Bank, Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 802,798                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | SunTrust Banks, Inc., 3.5%, 1/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 510,776                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.72             |   | The Toronto-Dominion Bank, Floating Rate Note, 7/2/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 743,324                                                                                             |
|                                                                                                                                                                                                    | 1,077,000            | 0.61             |   | Wachovia Corp., Floating Rate Note, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,072,869                                                                                           |
|                                                                                                                                                                                                    | 250,000              | 0.53             |   | Wells Fargo Bank NA, Floating Rate Note, 5/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 249,877                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 19,640,483                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 48,360,156                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Diversified Financials - 4.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Other Diversified Financial Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Bank of America NA, 1.25%, 2/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 500,185                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.60             |   | General Electric Capital Corp., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 750,253                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,250,438                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Multi-Sector Holdings - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            | 0.47             |   | Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 999,607                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.43             |   | Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 999,250                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,998,857                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Specialized Finance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 175,000              |             |   | Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 176,490                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.63             |   | National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 500,612                                                                                             |
|                                                                                                                                                                                                    | 150,000              |             |   | NYSE Holdings LLC, 2.0%, 10/5/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 150,962                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 828,064                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Consumer Finance - 2.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Ally Financial, Inc., 3.6%, 5/21/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 500,600                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | American Express Credit Corp., 1.3%, 7/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 501,363                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            | 0.58             |   | American Express Credit Corp., Floating Rate Note, 9/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 994,558                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | American Honda Finance Corp., 1.125%, 10/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,196                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | American Honda Finance Corp., 1.2%, 7/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 748,089                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.64             |   | American Honda Finance Corp., Floating Rate Note, 12/11/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 748,323                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Capital One NA, 1.65%, 2/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 743,962                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Caterpillar Financial Services Corp., 1.0%, 11/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,001,979                                                                                           |
|                                                                                                                                                                                                    | 1,125,000            |             |   | Caterpillar Financial Services Corp., 1.35%, 9/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,128,733                                                                                           |
|                                                                                                                                                                                                    | 500,000              |             |   | Hyundai Capital America, 1.875%, 8/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 501,044                                                                                             |
|                                                                                                                                                                                                    | 1,375,000            |             |   | Hyundai Capital America, 3.75%, 4/6/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,386,300                                                                                           |
|                                                                                                                                                                                                    | 485,000              | 0.47             |   | PACCAR Financial Corp., Floating Rate Note, 6/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 484,125                                                                                             |
|                                                                                                                                                                                                    | 3,150,000            |             |   | Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 3,145,959                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 12,386,231                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Asset Management & Custody Banks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              |             |   | The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 758,468                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Investment Banking & Brokerage - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              | 1.06             |   | Morgan Stanley, Floating Rate Note, 1/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 751,387                                                                                             |
|                                                                                                                                                                                                    | 275,000              | 3.10             |   | Morgan Stanley, Floating Rate Note, 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 284,591                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.58             |   | Morgan Stanley, Floating Rate Note, 2/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,938                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.18             |   | Morgan Stanley, Floating Rate Note, 6/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 496,900                                                                                             |
|                                                                                                                                                                                                    | 650,000              |             |   | North American Development Bank, 2.3%, 10/10/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 657,300                                                                                             |
|                                                                                                                                                                                                    | 2,108,000            |             |   | Raymond James Financial, Inc., 4.25%, 4/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,130,067                                                                                           |
|                                                                                                                                                                                                    | 1,500,000            | 0.72             |   | The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,497,428                                                                                           |
|                                                                                                                                                                                                    | 250,000              |             |   | The Charles Schwab Corp., 0.85%, 12/4/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 250,003                                                                                             |
|                                                                                                                                                                                                    | 475,000              | 0.77             |   | The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 475,097                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 7,043,711                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Diversified Capital Markets - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 814,000              |             |   | GE Capital International Funding Co., 0.964%, 4/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 814,987                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.01             |   | ICBCIL Finance Co, Ltd., Floating Rate Note, 11/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 749,456                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,564,443                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 25,830,212                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Insurance - 7.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Insurance Brokers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 750,000              |             |   | Aon Corp., 3.125%, 5/27/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 758,115                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Life & Health Insurance - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 0.54             |   | Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 499,992                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Principal Life Global Funding II, 1.2%, 5/19/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 748,060                                                                                             |
|                                                                                                                                                                                                    | 390,000              | 0.70             |   | Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 390,449                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,638,501                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Multi-line Insurance - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 300,000              | 0.82             |   | Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 300,648                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | New York Life Global Funding, 1.125%, 3/1/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 499,824                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | New York Life Global Funding, 1.45%, 12/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 749,950                                                                                             |
|                                                                                                                                                                                                    | 1,050,000            | 0.64             |   | New York Life Global Funding, Floating Rate Note, 5/23/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,051,257                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,601,679                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Reinsurance - 6.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 300,000              | 3.66             |   | Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 302,370                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 5.29             |   | Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 256,575                                                                                             |
|                                                                                                                                                                                                    | 350,000              | 5.95             |   | Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 362,075                                                                                             |
|                                                                                                                                                                                                    | 218,850              |             |   | Altair Re, Variable Rate Notes, 6/30/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 15,560                                                                                              |
|                                                                                                                                                                                                    | 500,000              |             |   | Altair Re, Variable Rate Notes, 6/30/17 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 574,550                                                                                             |
|                                                                                                                                                                                                    | 100,000              |             |   | Arlington Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 8/31/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 105,510                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 3.52             |   | Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 509,050                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 8.33             |   | Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 251,100                                                                                             |
|                                                                                                                                                                                                    | 800,000              | 4.37             |   | Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 797,520                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 5.25             |   | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 503,500                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 6.95             |   | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 771,975                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 4.47             |   | Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 250,100                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 4.29             |   | Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 602,580                                                                                             |
|                                                                                                                                                                                                    | 100,000              |             |   | Clarendon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/15/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 99,870                                                                                              |
|                                                                                                                                                                                                    | 250,000              | 0.00             |   | Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 249,850                                                                                             |
|                                                                                                                                                                                                    | 350,000              | 3.78             |   | East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 350,350                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 2.78             |   | East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 494,500                                                                                             |
|                                                                                                                                                                                                    | 700,000              |             |   | Eden Re II, Ltd., Variable Rate Notes, 4/19/18 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 752,500                                                                                             |
|                                                                                                                                                                                                    | 1,050,000            | 10.05            |   | Everglades Re, Ltd., Floating Rate Note, 3/28/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,072,050                                                                                           |
|                                                                                                                                                                                                    | 685,125              |             |   | Exeter Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 748,156                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | Fairfield Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 2/2/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 248,000                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 7.40             |   | Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 503,700                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 6.68             |   | Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 576,060                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.20             |   | Golden State Re II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 745,500                                                                                             |
|                                                                                                                                                                                                    | 800,000              |             |   | Gullane Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/22/17 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 886,560                                                                                             |
|                                                                                                                                                                                                    | 210,250              |             |   | Hereford Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 249,546                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 4.56             |   | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 252,700                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 4.08             |   | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 503,950                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 3.76             |   | Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 743,400                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 0.00             |   | Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 249,950                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 0.00             |   | Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 249,900                                                                                             |
|                                                                                                                                                                                                    | 650,000              | 4.77             |   | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 649,155                                                                                             |
|                                                                                                                                                                                                    | 350,000              | 4.52             |   | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 346,535                                                                                             |
|                                                                                                                                                                                                    | 450,000              | 2.25             |   | Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 450,855                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | Lahinch Re, Variable Rate Notes, 6/15/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 252,325                                                                                             |
|                                                                                                                                                                                                    | 1,750,000            | 4.30             |   | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,760,150                                                                                           |
|                                                                                                                                                                                                    | 750,000              | 3.75             |   | Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 759,975                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | Lorenz Re, Ltd., Variable Rate Notes, 3/31/18 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 270,500                                                                                             |
|                                                                                                                                                                                                    | 650,000              | 2.00             |   | Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 647,270                                                                                             |
|                                                                                                                                                                                                    | 400,000              | 4.49             |   | MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 406,360                                                                                             |
|                                                                                                                                                                                                    | 444,667              |             |   | Muirfield Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (e )                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 499,361                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 8.73             |   | Mythen Re, Ltd., Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 514,550                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 7.27             |   | Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 509,050                                                                                             |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Pangaea Re, Series 2015-1, Principal at Risk Notes, 2/1/19 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,150,600                                                                                           |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Pangaea Re, Series 2015-2, Principal at Risk Notes, 11/30/19 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,052,000                                                                                           |
|                                                                                                                                                                                                    | 700,000              |             |   | Pangaea Re., Variable Rate Notes, 7/1/18 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 12,600                                                                                              |
|                                                                                                                                                                                                    | 500,000              | 0.00             |   | PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 500,000                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 3.53             |   | Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 496,850                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 8.60             |   | Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 500,250                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 5.75             |   | Queen Street X Re, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 249,125                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 8.93             |   | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 499,750                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 5.78             |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 254,575                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 12.84            |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 263,200                                                                                             |
|                                                                                                                                                                                                    | 1,150,000            | 4.54             |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,161,615                                                                                           |
|                                                                                                                                                                                                    | 250,000              | 8.04             |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 256,175                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 9.28             |   | Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 263,950                                                                                             |
|                                                                                                                                                                                                    | 250,000              | 3.53             |   | Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 251,025                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 4.00             |   | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 753,300                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 3.51             |   | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 748,950                                                                                             |
|                                                                                                                                                                                                    | 650,000              | 3.87             |   | Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 656,305                                                                                             |
|                                                                                                                                                                                                    | 250,000              |             |   | Sector Re V, Ltd., Variable Rate Notes, 12/1/19 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 291,200                                                                                             |
|                                                                                                                                                                                                    | 300,000              |             |   | Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 328,530                                                                                             |
|                                                                                                                                                                                                    | 516                  |             |   | Sector Re V, Ltd., Variable Rate Notes, 3/30/19  (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 5,245                                                                                               |
|                                                                                                                                                                                                    | 250,000              |             |   | Silverton Re, Ltd., Variable Rate Notes, 9/16/16 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,350                                                                                               |
|                                                                                                                                                                                                    | 400,000              |             |   | Silverton Re, Ltd., Variable Rate Notes, 9/18/17 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 485,800                                                                                             |
|                                                                                                                                                                                                    | 1,150,000            | 8.49             |   | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,179,210                                                                                           |
|                                                                                                                                                                                                    | 250,000              | 5.01             |   | Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 248,925                                                                                             |
|                                                                                                                                                                                                    | 458,833              |             |   | Troon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 499,532                                                                                             |
|                                                                                                                                                                                                    | 800,000              |             |   | Versutus Ltd., Series 2015-A, Variable Rate Notes, 12/31/2017 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 940,720                                                                                             |
|                                                                                                                                                                                                    | 600,000              | 0.00             |   | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 605,760                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 2.86             |   | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 755,250                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 2.75             |   | Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 503,350                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 1.75             |   | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 494,750                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 36,755,985                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 41,754,280                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | Real Estate - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Health Care REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Welltower, Inc., 2.25%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 499,740                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 499,740                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Software & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Systems Software - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 300,000              |             |   | Oracle Corp., 2.25%, 10/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 303,879                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Oracle Corp., 2.375%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 509,448                                                                                             |
|                                                                                                                                                                                                    | 575,000              | 0.48             |   | Oracle Corp., Floating Rate Note, 7/7/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 574,900                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,388,227                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,388,227                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Technology Hardware & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Computer Storage & Peripherals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 400,000              | 0.35             |   | Apple, Inc., Floating Rate Note, 5/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 400,021                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 400,021                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Semiconductors & Semiconductor Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Semiconductors - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Altera Corp., 2.5%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 506,730                                                                                             |
|                                                                                                                                                                                                    | 700,000              |             |   | Intel Corp., 1.35%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 702,338                                                                                             |
|                                                                                                                                                                                                    | 350,000              |             |   | Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 348,943                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Texas Instruments, Inc., 0.875%, 3/12/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 498,250                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,056,261                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,056,261                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Telecommunication Services - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Integrated Telecommunication Services - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | AT&T, Inc., 2.4%, 8/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,009,924                                                                                           |
|                                                                                                                                                                                                    | 1,000,000            |             |   | GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 979,400                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 506,232                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Telefonica Emisiones SAU, 3.992%, 2/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 502,758                                                                                             |
|                                                                                                                                                                                                    | 1,780,000            | 1.87             |   | Verizon Communications, Inc., Floating Rate Note, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,795,091                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 4,793,405                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Wireless Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            | 1.34             |   | America Movil SAB de CV, Floating Rate Note, 9/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 999,960                                                                                             |
|                                                                                                                                                                                                    | 275,000              | 0.72             |   | Vodafone Group Plc, Floating Rate Note, 2/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 274,855                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,274,815                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 6,068,220                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Utilities - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Electric Utilities - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | American Electric Power Co., Inc., 1.65%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 496,388                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Commonwealth Edison Co., 1.95%, 9/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 503,200                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Duke Energy Carolinas LLC, 1.75%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 756,975                                                                                             |
|                                                                                                                                                                                                    | 303,000              | 0.67             |   | Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 302,973                                                                                             |
|                                                                                                                                                                                                    | 411,000              | 0.53             |   | Duke Energy Progress LLC, Floating Rate Note, 3/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 409,765                                                                                             |
|                                                                                                                                                                                                    | 750,000              | 0.75             |   | Electricite de France SA, Floating Rate Note, 1/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 749,248                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | Exelon Corp., 1.55%, 6/9/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 747,934                                                                                             |
|                                                                                                                                                                                                    | 827,000              | 0.61             |   | Georgia Power Co., Floating Rate Note, 3/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 827,059                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 0.72             |   | Georgia Power Co., Floating Rate Note, 8/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 499,261                                                                                             |
|                                                                                                                                                                                                    | 750,000              |             |   | NextEra Energy Capital Holdings, Inc., 2.056%, 9/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 752,209                                                                                             |
|                                                                                                                                                                                                    | 341,000              | 0.56             |   | NSTAR Electric Co., Floating Rate Note, 5/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 340,531                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 6,385,543                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | PSEG Power LLC, 2.75%, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 506,230                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 6,891,773                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Government - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 1,000,000            |             |   | Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 995,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Government                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 995,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $187,110,369)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 187,438,082                                                                                         |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 12.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 1,548,117            |             |   | Fannie Mae, 2.0%, 11/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,566,793                                                                                           |
|                                                                                                                                                                                                    | 1,094,651            |             |   | Fannie Mae, 2.5%, 3/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,114,905                                                                                           |
|                                                                                                                                                                                                    | 334,602              |             |   | Fannie Mae, 2.5%, 6/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 342,469                                                                                             |
|                                                                                                                                                                                                    | 1,068,665            |             |   | Fannie Mae, 3.0%, 10/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,110,317                                                                                           |
|                                                                                                                                                                                                    | 1,274,124            |             |   | Fannie Mae, 3.0%, 11/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,323,951                                                                                           |
|                                                                                                                                                                                                    | 743,962              |             |   | Fannie Mae, 3.0%, 5/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 770,847                                                                                             |
|                                                                                                                                                                                                    | 448,420              |             |   | Fannie Mae, 4.0%, 12/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 468,555                                                                                             |
|                                                                                                                                                                                                    | 234,951              |             |   | Fannie Mae, 4.5%, 1/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 256,366                                                                                             |
|                                                                                                                                                                                                    | 381,914              |             |   | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 420,086                                                                                             |
|                                                                                                                                                                                                    | 644,600              |             |   | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 708,932                                                                                             |
|                                                                                                                                                                                                    | 554,045              |             |   | Fannie Mae, 5.0%, 10/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 612,987                                                                                             |
|                                                                                                                                                                                                    | 186,492              |             |   | Fannie Mae, 5.0%, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 198,023                                                                                             |
|                                                                                                                                                                                                    | 49,525               |             |   | Fannie Mae, 5.5%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 55,610                                                                                              |
|                                                                                                                                                                                                    | 248,572              |             |   | Fannie Mae, 5.5%, 8/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 279,895                                                                                             |
|                                                                                                                                                                                                    | 272,849              |             |   | Fannie Mae, 6.0%, 10/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 294,513                                                                                             |
|                                                                                                                                                                                                    | 32,678               |             |   | Fannie Mae, 6.0%, 2/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 36,994                                                                                              |
|                                                                                                                                                                                                    | 27,451               |             |   | Fannie Mae, 6.0%, 4/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 31,138                                                                                              |
|                                                                                                                                                                                                    | 237,263              |             |   | Fannie Mae, 6.5%, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 268,097                                                                                             |
|                                                                                                                                                                                                    | 356                  |             |   | Fannie Mae, 6.5%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 358                                                                                                 |
|                                                                                                                                                                                                    | 5,814                |             |   | Fannie Mae, 6.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 6,695                                                                                               |
|                                                                                                                                                                                                    | 8,789                |             |   | Fannie Mae, 6.5%, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 9,012                                                                                               |
|                                                                                                                                                                                                    | 13,837               |             |   | Fannie Mae, 7.0%, 1/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 14,901                                                                                              |
|                                                                                                                                                                                                    | 22,621               |             |   | Fannie Mae, 7.0%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 22,829                                                                                              |
|                                                                                                                                                                                                    | 50,813               | 2.67             |   | Fannie Mae, Floating Rate Note, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 51,900                                                                                              |
|                                                                                                                                                                                                    | 97,954               | 2.82             |   | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 99,406                                                                                              |
|                                                                                                                                                                                                    | 80,006               | 2.40             |   | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 81,219                                                                                              |
|                                                                                                                                                                                                    | 302,557              | 2.23             |   | Fannie Mae, Floating Rate Note, 10/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 304,672                                                                                             |
|                                                                                                                                                                                                    | 79,998               | 2.67             |   | Fannie Mae, Floating Rate Note, 11/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 83,358                                                                                              |
|                                                                                                                                                                                                    | 2,038                | 2.35             |   | Fannie Mae, Floating Rate Note, 11/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,148                                                                                               |
|                                                                                                                                                                                                    | 30,021               | 1.64             |   | Fannie Mae, Floating Rate Note, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 30,196                                                                                              |
|                                                                                                                                                                                                    | 48,186               | 2.57             |   | Fannie Mae, Floating Rate Note, 12/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 50,270                                                                                              |
|                                                                                                                                                                                                    | 180,518              | 4.32             |   | Fannie Mae, Floating Rate Note, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 192,304                                                                                             |
|                                                                                                                                                                                                    | 8,409                | 2.58             |   | Fannie Mae, Floating Rate Note, 2/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 8,460                                                                                               |
|                                                                                                                                                                                                    | 975                  | 3.34             |   | Fannie Mae, Floating Rate Note, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,029                                                                                               |
|                                                                                                                                                                                                    | 3,040                | 2.71             |   | Fannie Mae, Floating Rate Note, 4/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,064                                                                                               |
|                                                                                                                                                                                                    | 2,673                | 2.51             |   | Fannie Mae, Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,746                                                                                               |
|                                                                                                                                                                                                    | 46,304               | 2.53             |   | Fannie Mae, Floating Rate Note, 7/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 49,487                                                                                              |
|                                                                                                                                                                                                    | 822,762              |             |   | Federal Home Loan Mortgage Corp., 2.5%, 10/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 840,491                                                                                             |
|                                                                                                                                                                                                    | 164,206              |             |   | Federal Home Loan Mortgage Corp., 4.0%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 175,003                                                                                             |
|                                                                                                                                                                                                    | 95,515               |             |   | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 98,715                                                                                              |
|                                                                                                                                                                                                    | 101,187              |             |   | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 104,571                                                                                             |
|                                                                                                                                                                                                    | 85,588               |             |   | Federal Home Loan Mortgage Corp., 5.0%, 12/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 94,193                                                                                              |
|                                                                                                                                                                                                    | 55,708               |             |   | Federal Home Loan Mortgage Corp., 5.0%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 59,636                                                                                              |
|                                                                                                                                                                                                    | 36,492               |             |   | Federal Home Loan Mortgage Corp., 5.5%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 39,242                                                                                              |
|                                                                                                                                                                                                    | 2,204                |             |   | Federal Home Loan Mortgage Corp., 6.5%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,228                                                                                               |
|                                                                                                                                                                                                    | 2,064                | 2.57             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,170                                                                                               |
|                                                                                                                                                                                                    | 318,932              | 2.73             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 324,110                                                                                             |
|                                                                                                                                                                                                    | 5,076                | 2.54             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,372                                                                                               |
|                                                                                                                                                                                                    | 254,211              | 2.41             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 255,266                                                                                             |
|                                                                                                                                                                                                    | 15,962               | 2.67             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 16,416                                                                                              |
|                                                                                                                                                                                                    | 1,933                | 2.70             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,957                                                                                               |
|                                                                                                                                                                                                    | 4,919                | 2.30             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,926                                                                                               |
|                                                                                                                                                                                                    | 2,359                | 2.88             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,362                                                                                               |
|                                                                                                                                                                                                    | 84,063               | 2.66             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 87,633                                                                                              |
|                                                                                                                                                                                                    | 839                  | 2.50             |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 862                                                                                                 |
|                                                                                                                                                                                                    | 1,628,562            |             |   | Federal National Mortgage Association, 2.0%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,648,241                                                                                           |
|                                                                                                                                                                                                    | 1,006,102            |             |   | Federal National Mortgage Association, 2.5%, 9/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,029,692                                                                                           |
|                                                                                                                                                                                                    | 662,092              |             |   | Federal National Mortgage Association, 3.0%, 12/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 686,471                                                                                             |
|                                                                                                                                                                                                    | 773,966              |             |   | Federal National Mortgage Association, 4.0%, 1/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 808,845                                                                                             |
|                                                                                                                                                                                                    | 843,746              |             |   | Federal National Mortgage Association, 4.0%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 882,451                                                                                             |
|                                                                                                                                                                                                    | 856,872              |             |   | Federal National Mortgage Association, 4.0%, 3/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 896,421                                                                                             |
|                                                                                                                                                                                                    | 277,602              |             |   | Federal National Mortgage Association, 4.0%, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 289,840                                                                                             |
|                                                                                                                                                                                                    | 258,175              |             |   | Government National Mortgage Association I, 5.0%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 272,425                                                                                             |
|                                                                                                                                                                                                    | 120,659              |             |   | Government National Mortgage Association I, 6.0%, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 136,202                                                                                             |
|                                                                                                                                                                                                    | 53,056               |             |   | Government National Mortgage Association I, 6.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 61,559                                                                                              |
|                                                                                                                                                                                                    | 68,724               |             |   | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 69,901                                                                                              |
|                                                                                                                                                                                                    | 31,002               |             |   | Government National Mortgage Association I, 6.5%, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 36,834                                                                                              |
|                                                                                                                                                                                                    | 29,694               |             |   | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 35,149                                                                                              |
|                                                                                                                                                                                                    | 7,149                |             |   | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 8,192                                                                                               |
|                                                                                                                                                                                                    | 51,217               |             |   | Government National Mortgage Association I, 7.5%, 10/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 59,493                                                                                              |
|                                                                                                                                                                                                    | 218,293              |             |   | Government National Mortgage Association II, 6.0%, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 228,113                                                                                             |
|                                                                                                                                                                                                    | 164,365              |             |   | Government National Mortgage Association II, 6.0%, 11/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 175,691                                                                                             |
|                                                                                                                                                                                                    | 150,387              |             |   | Government National Mortgage Association II, 6.0%, 4/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 159,038                                                                                             |
|                                                                                                                                                                                                    | 98,403               |             |   | Government National Mortgage Association II, 6.0%, 8/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 102,443                                                                                             |
|                                                                                                                                                                                                    | 500,000              |             |   | Private Export Funding Corp., 2.125%, 7/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 503,378                                                                                             |
|                                                                                                                                                                                                    | 2,000,000            | 0.29             |   | U.S. Treasury Note, Floating Rate Note, 4/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,998,110                                                                                           |
|                                                                                                                                                                                                    | 20,000,000           |             |   | U.S. Treasury Notes, 0.5%, 7/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 19,992,960                                                                                          |
|                                                                                                                                                                                                    | 16,500,000           |             |   | U.S. Treasury Notes, 0.5%, 8/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 16,485,183                                                                                          |
|                                                                                                                                                                                                    | 11,000,000           |             |   | U.S. Treasury Notes, 0.625%, 6/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 10,960,895                                                                                          |
|                                                                                                                                                                                                    | 2,500,000            |             |   | U.S. Treasury Notes, 0.875%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,492,578                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 73,009,790                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $73,012,277)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 73,009,790                                                                                          |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | MUNICIPAL BONDS - 0.3% (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Municipal Airport - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 475,000              |             |   | Massachusetts Port Authority, 5.0%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 487,322                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Municipal Development - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 250,000              | 3.00             |   | Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 251,452                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Municipal General - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 500,925                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Higher Municipal Education - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              |             |   | University of California, 0.966%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 500,470                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $1,795,135)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,740,169                                                                                           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | SENIOR FLOATING RATE LOAN INTERESTS - 7.5%**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Energy - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Equipment & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 345,625              | 3.75             |   | 77 Energy, Tranche B Loan (First Lien), 6/17/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 273,332                                                                                             |
|                                                                                                                                                                                                    | 735,928              | 3.88             |   | Fieldwood Energy LLC, Closing Date Loan, 9/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 603,001                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 876,333                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Integrated Oil & Gas - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 835,125              | 4.00             |   | Seadrill Operating LP, Initial Term Loan, 2/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 427,480                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Exploration & Production - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 739,601              | 5.50             |   | TPF II Power, LLC, Term Loan, 10/2/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 729,779                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Oil & Gas Storage & Transportation - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 278,824              | 4.00             |   | Energy Transfer Equity, LP,Term Loan, 12/2/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 270,529                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,304,121                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Materials - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Commodity Chemicals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 521,063              | 4.75             |   | Eco Services Operations, Initial Term Loan, 10/8/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 518,349                                                                                             |
|                                                                                                                                                                                                    | 446,574              | 4.25             |   | Tronox Pigments Holland BV, New Term Loan, 3/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 408,476                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 926,825                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Specialty Chemicals - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 545,875              | 3.75             |   | Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 542,236                                                                                             |
|                                                                                                                                                                                                    | 500,000              | 5.50             |   | Macdermid, Inc., (Platform Specialty Products Corp.,), Term Loan B3, 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 487,448                                                                                             |
|                                                                                                                                                                                                    | 1,238,598            | 4.50             |   | MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,205,620                                                                                           |
|                                                                                                                                                                                                    | 71,754               | 2.75             |   | WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 71,373                                                                                              |
|                                                                                                                                                                                                    | 199,394              | 2.75             |   | WR Grace & Co-Conn, U.S. Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 198,334                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,505,011                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Construction Materials - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 198,111              | 4.25             |   | CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 197,740                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Metal & Glass Containers - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | 98,750               | 5.50             |   | BWay Intermediate, Initial Term Loan, 8/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 96,204                                                                                              |
|                                                                                                                                                                                                    |                 |             |   | Diversified Metals & Mining - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 73,453               | 4.25             |   | Fortescue Metals Group Ltd., Bank Loan, 6/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 60,232                                                                                              |
|                                                                                                                                                                                                    |                 |             |   | Steel - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 145,449              | 4.50             |   | TMS International Corp., Term B Loan, 10/2/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 137,449                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Paper Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    | 239,867              | 5.75             |   | Appvion, Inc., Term Commitment, 6/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 225,275                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 4,148,736                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Capital Goods - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Aerospace & Defense - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 3.75             |   | DigitalGlobe, Inc., Term Loan, 1/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 491,953                                                                                             |
|                                                                                                                                                                                                    | 792,604              | 3.25             |   | Wesco Aircraft Hardare Corp., Tranche B Term Loan (First Lien), 2/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 767,835                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,259,788                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Building Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 406,721              | 4.25             |   | Unifrax Corp., New Term B Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 400,620                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Construction & Engineering - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    | 233,293              | 3.75             |   | Aecom Technology, Term Loan B, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 233,702                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Electrical Components & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 399,172              | 3.00             |   | Southwire Co., Term Loan, 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 392,186                                                                                             |
|                                                                                                                                                                                                    | 414,919              | 6.00             |   | WireCo WorldGroup, Inc., Term Loan, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 407,398                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 799,584                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 20,639               | 4.25             |   | CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 20,600                                                                                              |
|                                                                                                                                                                                                    | 60,286               | 4.25             |   | CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 60,173                                                                                              |
|                                                                                                                                                                                                    | 326,836              | 4.50             |   | Milacron LLC, Term Loan, 9/28/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 325,504                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 406,277                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Construction & Farm Machinery & Heavy Trucks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 400,000              | 6.50             |   | Navistar, Inc., Tranche B Term Loan, 8/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 366,833                                                                                             |
|                                                                                                                                                                                                    | 255,749              | 3.50             |   | Terex Corp., U.S. Term Loan, 8/13/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 253,991                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 620,824                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Industrial Machinery - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 0.00             |   | NN, Inc., Initial Term Loan, 10/2/22 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 495,625                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Trading Companies & Distributors - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 61,163               | 3.75             |   | WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 61,143                                                                                              |
|                                                                                                                                                                                                    |                 |             |   | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 4,277,563                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Commercial Services & Supplies - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Environmental & Facilities Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 950,670              | 5.00             |   | Wheelabrator, Term B Loan, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 891,254                                                                                             |
|                                                                                                                                                                                                    | 42,146               | 5.00             |   | Wheelabrator, Term C Loan, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 39,511                                                                                              |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 930,765                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Office Services & Supplies - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    | 325,000              | 4.25             |   | West Corp., B-11 Term Loan, 11/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 322,867                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Security & Alarm Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | 121,625              | 4.00             |   | Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 118,318                                                                                             |
|                                                                                                                                                                                                    | 475,443              | 4.00             |   | Garda World Security Corp., Term B Loan, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 462,518                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 580,836                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Human Resource & Employment Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    | 112,977              | 3.75             |   | On Assignment, Inc., Initial Term B Loan, 6/5/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 113,211                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,947,679                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Transportation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Airlines - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 742,500              | 3.50             |   | American Airlines, Inc., 2015 Term Loan B, 10/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 737,859                                                                                             |
|                                                                                                                                                                                                    | 98,232               | 3.25             |   | Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 98,186                                                                                              |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 836,045                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Marine - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 435,775              | 5.25             |   | Navios Maritime Partners LP, Term Loan, 6/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 424,881                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,260,926                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Automobiles & Components - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Auto Parts & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 530,667              | 6.00             |   | BBB Industries US, Initial Term Loan,  10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 531,330                                                                                             |
|                                                                                                                                                                                                    | 466,632              | 3.75             |   | MPG Holdco I, Inc., Initial Term Loan, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 460,994                                                                                             |
|                                                                                                                                                                                                    | 169,231              | 4.25             |   | Schaeffler AG, Facility B-USD, 5/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 170,024                                                                                             |
|                                                                                                                                                                                                    | 144,988              | 4.50             |   | TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 143,629                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,305,977                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Automobile Manufacturers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 890,475              | 3.50             |   | Chrysler Group LLC, Term Loan B, 5/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 889,593                                                                                             |
|                                                                                                                                                                                                    | 591,000              | 3.25             |   | Chrysler Group LLC, Tranche B Term Loan, 12/29/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 588,414                                                                                             |
|                                                                                                                                                                                                    | 297,000              | 6.00             |   | Crown Group llc, Term Loan (First Lien), 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 291,060                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,769,067                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 3,075,044                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Consumer Durables & Apparel - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Apparel, Accessories & Luxury Goods - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    | 270,361              | 3.25             |   | PVH Corp., Tranche B Term Loan, 12/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 271,730                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 271,730                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Consumer Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 340,375              | 3.50             |   | MGM Resorts International, Term B Loan, 12/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 338,886                                                                                             |
|                                                                                                                                                                                                    | 918,063              | 6.00             |   | Scientific Games, Initial Term B-2, 10/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 851,934                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,190,820                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Hotels, Resorts & Cruise Lines - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 322,434              | 3.50             |   | Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 321,538                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 529,947              | 3.75             |   | 1011778 BC ULC, Term B-2 Loan, 12/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 529,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Education Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 392,937              | 4.00             |   | Bright Horizons Family Solutions, Inc., Term B Loan, 1/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 393,303                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 2,434,661                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Media - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Broadcasting - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    | 273,616              | 3.50             |   | E.W. Scripps Co., Term Loan, 11/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 273,616                                                                                             |
|                                                                                                                                                                                                    | 550,368              | 3.81             |   | Tribune Media Co. (f.k.a. Tribune Co.,), Term B Loan, 12/27/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 548,763                                                                                             |
|                                                                                                                                                                                                    | 328,125              | 3.00             |   | CBS Outdoor Americas Capital llc, Tranche B Term Loan (First Lien), 1/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 325,630                                                                                             |
|                                                                                                                                                                                                    | 466,029              | 4.00             |   | Entercom Radio llc, Term B-2 Loan, 11/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 465,446                                                                                             |
|                                                                                                                                                                                                    | 801,032              | 3.75             |   | Gray Television, Inc., Term Loan (First Lien), 6/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 797,862                                                                                             |
|                                                                                                                                                                                                    | 196,977              | 3.25             |   | Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 192,422                                                                                             |
|                                                                                                                                                                                                    | 436,073              | 3.00             |   | Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 430,349                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,034,088                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Cable & Satellite - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 394,000              | 2.66             |   | Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 388,090                                                                                             |
|                                                                                                                                                                                                    | 476,177              | 3.50             |   | Ziggo BV, (USD) Tranche B-3 Term Loan, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 466,058                                                                                             |
|                                                                                                                                                                                                    | 449,291              | 3.50             |   | Ziggo BV, Tranche B-1 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 439,744                                                                                             |
|                                                                                                                                                                                                    | 289,532              | 3.50             |   | Ziggo BV, Tranche B-2 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 283,379                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,577,271                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Movies & Entertainment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    | 244,975              | 3.50             |   | AMC Entertainment, Inc., Initial Term Loan, 4/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 245,128                                                                                             |
|                                                                                                                                                                                                    | 86,645               | 3.75             |   | Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 86,645                                                                                              |
|                                                                                                                                                                                                    | 507,640              | 3.50             |   | Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 506,895                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 838,668                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 5,450,027                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Computer & Electronics Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 541,750              | 3.75             |   | Rent-A-Center, Inc., Term Loan (2014), 2/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 525,823                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 525,823                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Food & Staples Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 642,018              | 5.38             |   | Albertsons LLC, Term B-2 Loan, 3/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 641,777                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 641,777                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Food, Beverage & Tobacco - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Agricultural Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 517,125              | 3.25             |   | Darling International, Inc., Term B USD Loan, 12/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 517,442                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Packaged Foods & Meats - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 177,902              | 3.75             |   | Post Holdings, Inc., Tranche B Loan (First Lien), 5/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 178,108                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Other Diversified Financial Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 196,000              | 3.75             |   | JBS USA LLC, Incremental Term Loan, 9/18/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 194,162                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 889,712                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 4.25             |   | Party City Holdings, Inc. (Party City Corp.), Term Loan, 8/6/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 490,834                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 490,834                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Health Care Equipment & Services - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Health Care Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 744,318              | 4.50             |   | Kinetic Concepts, Inc., Term  DTL-E1 loan, 5/4/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 727,571                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Health Care Supplies - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 260,788              | 4.00             |   | Halyard Health, Inc., Term Loan, 11/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 259,730                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Health Care Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 500,000              | 4.50             |   | Envision Healthcare Corp., Tranche B-2 Term Loan, 10/28/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 498,125                                                                                             |
|                                                                                                                                                                                                    | 490,000              | 2.33             |   | Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 490,000                                                                                             |
|                                                                                                                                                                                                    | 644,004              | 4.25             |   | US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 642,193                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,630,318                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Health Care Facilities - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 98,877               | 3.66             |   | CHS, Incremental 2018 Term F Loans, 12/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 97,456                                                                                              |
|                                                                                                                                                                                                    | 92,795               | 3.08             |   | CHS, Incremental 2019 Term G Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 91,077                                                                                              |
|                                                                                                                                                                                                    | 170,740              | 4.00             |   | CHS, Incremental 2021 Term H Loan, 1/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 168,379                                                                                             |
|                                                                                                                                                                                                    | 272,927              | 4.25             |   | Kindred Healthcare, Inc., Tranche B Loan (First Lien), 4/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 262,692                                                                                             |
|                                                                                                                                                                                                    | 293,985              | 6.75             |   | Steward Health Care System LLC, Term Loan, 4/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 290,950                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 910,554                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 650,000              | 5.25             |   | U.S. Renal Care, Inc., Term Loan (First Lien), 11/16/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 646,750                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Health Care Technology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 396,000              | 3.75             |   | Emdeon Inc., Term B-3 Loan, 2.50%, 11/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 392,865                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 4,567,788                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Pharmaceuticals, Biotechnology & Life Sciences - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Pharmaceuticals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    | 244,000              | 3.75             |   | Endo Luxembourg Finance Co., S.a.r.l., 2015, Incremental Term B Loan, 6/24/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 240,238                                                                                             |
|                                                                                                                                                                                                    | 295,500              | 3.25             |   | Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 284,788                                                                                             |
|                                                                                                                                                                                                    | 257,286              | 3.50             |   | Prestige Brands, Inc., Term B-3 Loan, 9/3/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 256,482                                                                                             |
|                                                                                                                                                                                                    | 496,250              | 4.00             |   | Valeant Pharmaceuticals, Series F-1,  3/11/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 469,921                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,251,429                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,251,429                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Diversified Financials - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Other Diversified Financial Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 425,000              | 3.50             |   | Delos Finance SARL, Tranche B Term Loan, 2/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 423,893                                                                                             |
|                                                                                                                                                                                                    | 360,000              | 3.50             |   | Fly Funding II Sarl, Term Loan, 8/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 358,200                                                                                             |
|                                                                                                                                                                                                    | 744,332              | 5.00             |   | Nord Anglia Education, Initial Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 736,889                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,518,982                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Specialized Finance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 350,000              | 4.25             |   | Avago Technologies, Term Loan B, 11/13/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 346,719                                                                                             |
|                                                                                                                                                                                                    | 197,500              | 3.25             |   | SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 194,167                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 540,886                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Investment Banking & Brokerage - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 144,788              | 3.25             |   | LPL Holdings, Inc., 3/29/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 143,883                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,203,751                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Real Estate - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Mortgage REIT - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    | 195,980              | 3.50             |   | Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 194,347                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Specialized REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 489,950              | 3.25             |   | The GEO Group, Inc., Term Loan, 4/3/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 488,419                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 682,766                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Software & Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Internet Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 287,179              | 3.75             |   | Vantiv LLC, Term B Loan, 6/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 287,644                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | IT Consulting & Other Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 197,500              | 5.75             |   | Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 168,087                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Application Software - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 261,457              | 3.50             |   | Verint Systems, Inc., Tranche B-2 Term Loan (First Lien), 9/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 261,000                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Home Entertainment Software - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                |
|                                                                                                                                                                                                    | 573,304              | 3.25             |   | Activision Blizzard, Inc., Term Loan, 7/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 574,689                                                                                             |
|                                                                                                                                                                                                    | 350,941              | 5.25             |   | Micro Focus International, Term Loan B, 10/7/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 350,220                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 924,909                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,641,640                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Technology Hardware & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Communications Equipment - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    | 345,625              | 3.75             |   | Ciena Corp., Term Loan, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 344,329                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Electronic Equipment Manufacturers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 465,909              | 4.75             |   | Zebra Technologies, Term Loan B, 9/30/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 467,984                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Electronic Components - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    | 245,000              | 3.25             |   | Belden Finance 2013 LP, Initial Term Loan, 9/9/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 243,928                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Technology Distributors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 400,000              | 3.25             |   | CDW LLC, Term Loan, 4/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 387,214                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,443,455                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Semiconductors & Semiconductor Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    | 643,516              | 2.58             |   | Sensata Technologies B.V. (Sensata Technologies Finance Co., LLC), Sixth Amendment Term Loan, 10/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 640,248                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Semiconductors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    | 339,114              | 3.75             |   | Avago Technologies Ltd., Tranche B Term Loan (First Lien), 4/16/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 338,302                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 978,550                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Telecommunication Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Integrated Telecommunication Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                |
|                                                                                                                                                                                                    | 225,000              | 0.00             |   | Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 223,397                                                                                             |
|                                                                                                                                                                                                    | 235,662              | 3.50             |   | Virgin Media Investment Holdings, Limited Facility, 6/30/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 232,496                                                                                             |
|                                                                                                                                                                                                    | 373,125              | 4.00             |   | GCI Holdings, Inc., New Term B Loan, 2/2/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 374,058                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 829,951                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Wireless Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    | 346,474              | 3.00             |   | Crown Castle International Corp., Tranche B-2 Term Loan (First Lien), 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 344,481                                                                                             |
|                                                                                                                                                                                                    | 925,000              | 4.00             |   | Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 726,125                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,070,606                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,900,557                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Utilities - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Electric Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    | 1,080,376            | 4.75             |   | Atlantic Power LP, Term Loan, 2/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,081,726                                                                                           |
|                                                                                                                                                                                                    | 663,163              | 3.25             |   | Calpine Construction Finance Co. LP, Term B-2 Loan, 1/3/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 639,538                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,721,264                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    | 744,246              | 4.00             |   | Calpine Corp., Term Loan, 9/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 741,763                                                                                             |
|                                                                                                                                                                                                    | 185,878              | 3.75             |   | NSG Holdings LLC, New Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 183,563                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 925,326                                                                                             |
|                                                                                                                                                                                                    |                 |             |   | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,646,590                                                                                           |
|                                                                                                                                                                                                    |                 |             |   | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $46,290,701)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 45,035,159                                                                                          |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | TEMPORARY CASH INVESTMENT - 3.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Repurchase Agreement - 3.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                |
|                                                                                                                                                                                                    | 20,000,000           |             |   | $20,000,000 Bank of Nova Scotia, 0.14%, dated 11/30/15 plus accrued interest on 12/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | collateralized by the following:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $876,761 Freddie Mac Giant, 3.5-4.5%, 9/1/42-12/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $1,902,481 Federal Home Loan Mortgage Corp., 2.388-2.673%, 3/1/40-5/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $2,028,312 Federal National Mortgage Association (ARM), 2.213-2.836%, 12/1/39-11/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $6,853,449 Federal National Mortgage Association, 2.5-4.5%, 5/1/26-11/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $6,084,299 Government National Mortgage Association, 3.5%, 11/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | $2,654,697 Government National Mortgage Association (ARM), 2.862%, 4/20/65                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 20,000,000                                                                                          |
|                                                                                                                                                                                                    |                 |             |   | TOTAL TEMPORARY CASH INVESTMENT                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $20,000,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 20,000,000                                                                                          |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | TOTAL INVESTMENT IN SECURITIES - 100.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | (Cost $606,174,046) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 603,461,496                                                                                         |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | OTHER ASSETS & LIABILITIES - (0.6)%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | (3,763,092)                                                                                         |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 599,698,403                                                                                         |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | +                    |             |   | Amount rounds to less than 0.1%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (Cat Bond)           |             |   | Catastrophe or event linked bond.  At November 30, 2015 the value of these securities amounted to                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|                                                                                                                                                                                                    |                 |             |   | $27,284,970 or 4.6% of net assets                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (Step)               |             |   | Bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (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 November 30, 2015, the value of these securities amounted to $178,805,476 or 29.8% of total net assets.                                                                                                                                                                                                                               |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | REMICS               |             |   | Real Estate Mortgage Investment Conduits.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | REIT                 |             |   | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | Strips               |             |   | Separate trading of Registered interest and principal of securities.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | ARM                  |             |   | Adjustable Rate Mortgage.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | **                   |             |   | Senior floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit rate or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (a)                  |             |   | At November 30, 2015, the net unrealized depreciation on investments based on                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | cost for federal income tax purposes of $606,174,046 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Aggregate gross unrealized appreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         |                2,594,644 |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Aggregate gross unrealized depreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |              (5,307,194)           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   | Net unrealized depreciation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         |              (2,712,550)           |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (b)                  |             |   | Debt obligation with a variable interest rate.  Rate shown is rate at end of period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (c)                  |             |   | Security represents the interest only portion payments on a pool of underlying mortgages or mortgage-backed securities.                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (d)                  |             |   | Rate to be determined.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (e)                  |             |   | Structured reinsurance investment. At November 30, 2015, the value of these securities amounted to $9,471,015 or 1.6% of total net assets.                                                                                                                                                                                                                                                                                                                                                                                                                             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
|                                                                                                                                                                                                    | (f)                  |             |   | Consists of Revenue Bonds unless otherwise indicated.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
| 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.) See Notes to Financial Statements - Note 1A. |
| Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments) See Notes to Financial Statements - Note 1A.                      |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |
| The following is a summary of the inputs used as of November 30, 2015, in valuing the Fund’s assets:                                                                                              |                 |             |
|                                                                                                                                                                                                    |                 |             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                |

|                                                                                     |   |   |                                              |                                                                                                                                                      | Level 1       |      |    | Level 2 |   |        | Level 3 |   |   | Total     |   |
|------------------------------------------------------------------------------------------|--------|--------|---------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------|---------------|-----------|---------|---------|--------|-------------|---------|--------|--------|-----------|--------|
|                                                                                     |   |   | Asset Backed Securities                           |                                                                                                                                                      | $             | -         |    |    | $      | 84,695,320  |    |   | $      | -         |   |   | $ | 84,695,320 |   |
|                                                                                     |   |   | Collateralized Mortgage Obligations               |                                                                                                                                                      |          | -         |    |    |   | 191,542,976 |    |   |   | -         |   |   |   | 191,542,976 |   |
|                                                                                     |   |   | Corporate Bonds                                   |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   |   Insurance                             |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   |     Reinsurance               |                                                                                                                                                      |          | -         |    |    |   | 27,284,970  |    |   |   | 9,471,015 |   |   |   | 36,755,985 |   |
|                                                                                     |   |   |   All Other Corporate Bonds             |                                                                                                                                                      |          | -         |    |    |   | 150,682,097 |    |   |   | -         |   |   |   | 150,682,097 |   |
|                                                                                     |   |   | U.S. Government Agency Obligations                |                                                                                                                                                      |          | -         |    |    |   | 73,009,790  |    |   |   | -         |   |   |   | 73,009,790 |   |
|                                                                                     |   |   | Municipal Bonds                                   |                                                                                                                                                      |          | -         |    |    |   | 1,740,169   |    |   |   | -         |   |   |   | 1,740,169 |   |
|                                                                                     |   |   | Senior Floating Rate Loan Interests               |                                                                                                                                                      |          | -         |    |    |   | 45,035,159  |    |   |   | -         |   |   |   | 45,035,159 |   |
|                                                                                     |   |   | Repurchase Agreement                              |                                                                                                                                                      |          | -         |    |    |   | 20,000,000  |    |   |   | -         |   |   |   | 20,000,000 |   |
|                                                                                     |   |   | Total                                             |                                                                                                                                                      | $             | -         |    |    | $      | 593,990,481 |    |   | $      | 9,471,015 |   |   | $ | 603,461,496 |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
| Following is a reconciliation of assets using significant unobservable inputs (Level 3): |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      | CorporaeBonds |      |    |    |   |        |    |   |   |      |
|                                                                                     |   |   | Balance as of 8/31/15                             |                                                                                                                                                      | $             | 9,007,392 |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Realized gain (loss)1                             |                                                                                                                                                      |          | -         |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Change in unrealized appreciation (depreciation)2 |                                                                                                                                                      |          | 264,323   |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Net Purchases                                     |                                                                                                                                                      |          | 199,300   |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Net Sales                                         |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Transfers in and out of Level 3*                  |                                                                                                                                                      |          | -         |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Transfers in and out of Level 3 activity          |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   | Balance as of 11/30/15                            |                                                                                                                                                      | $             | 9,471,015 |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |
|                                                                                     |   | 1      |                                              | Realized gain (loss) on these securities is included in the net realized gain (loss) from investments in the Statement of Operations.                     |          |      |    |    |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   | 2      |                                              | Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation                                           |          |      |    |    |   |        |    |   |   |      |   |   |   |
|                                                                                     |   |   |                                              |  (depreciation) on investments in the Statement of Operations.                                                                                       |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   | *      |                                              | Transfers are calculated on the beginning of period values. During the period ended November 30, 2015, there were no transfers between Levels 1, 2 and 3. |          |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   |   |                                              | Net change in unrealized appreciation (depreciation) of investments                                                                                       |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   |   |                                              | still held as of 11/30/15                                                                                                                                 |          | $         | 264,323 |    |   |        |    |   |   |      |   |   |   |   |   |   |
|                                                                                     |   |   |                                              |                                                                                                                                                      |          |      |    |    |   |        |    |   |   |      |   |   |   |   |   |   |