```

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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 811-02864

                         Pioneer Bond 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:  June 30

Date of reporting period:  September 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 Bond Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------|------------------|----------------------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Schedule of Investments 9/30/15 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | Principal Amount ($) | FloatingRate (b) |                                                                                                                                         | Value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | PREFERRED STOCKS - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Banks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Banks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 30,353               | 7.88             |                                                                                                                                         | Citigroup Capital XIII, Floating Rate Note, 10/30/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 779,769                                                                                                                                                       |
|                                                                                                                                                                        | 171,525              | 7.12             |                                                                                                                                         | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 4,617,453                                                                                                                                                     |
|                                                                                                                                                                        | 45,014               | 6.00             |                                                                                                                                         | US Bancorp, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,185,219                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 6,582,441                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Regional Banks - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,694                | 6.62             |                                                                                                                                         | Fifth Third Bancorp, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 73,412                                                                                                                                                        |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 6,655,853                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Financials - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Finance - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,250                |             |                                                                                                                                         | Ally Financial, Inc., 7.0% (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,260,195                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Asset Management & Custody Banks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 54,200               | 5.90             |                                                                                                                                         | State Street Corp., Floating Rate Note, 12/31/73                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,407,032                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Investment Banking & Brokerage - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 110,230              | 6.38             |                                                                                                                                         | Morgan Stanley, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,804,251                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 5,471,478                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Property & Casualty Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 34,334               | 5.95             |                                                                                                                                         | Aspen Insurance Holdings, Ltd., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 870,710                                                                                                                                                       |
|                                                                                                                                                                        | 125,844              | 5.10             |                                                                                                                                         | The Allstate Corp., Floating Rate Note, 1/15/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,193,921                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,064,631                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 4,064,631                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Electric Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 124,351              |             |                                                                                                                                         | PPL Capital Funding, Inc., 5.9%, 4/30/73                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 3,133,645                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 3,133,645                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $18,780,657)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 19,325,607                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | CONVERTIBLE PREFERRED STOCKS - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Banks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Banks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,610                |             |                                                                                                                                         | Wells Fargo & Co., 7.5% (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 6,552,480                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 6,552,480                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL CONVERTIBLE PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $5,839,986)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 6,552,480                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | ASSET BACKED SECURITIES - 5.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,120,104            |             |                                                                                                                                         | Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,119,680                                                                                                                                                     |
|                                                                                                                                                                        | 87,697               | 6.50             |                                                                                                                                         | ACE Securities Corp. Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 87,763    |
|                                                                                                                                                                        | 2,200,000            | 1.60             |                                                                                                                                         | American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,157,599                                                                                                                                                     |
|                                                                                                                                                                        | 2,800,000            |             |                                                                                                                                         | American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,826,550                                                                                                                                                     |
|                                                                                                                                                                        | 700,000              |             |                                                                                                                                         | American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 712,138                                                                                                                                                       |
|                                                                                                                                                                        | 1,300,000            |             |                                                                                                                                         | American Homes 4 Rent 2015-SFR1, 4.11%, 4/18/52 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,260,206                                                                                                                                                     |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 801,459                                                                                                                                                       |
|                                                                                                                                                                        | 2,600,000            |             |                                                                                                                                         | Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,660,130                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            |             |                                                                                                                                         | Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,230,624                                                                                                                                                     |
|                                                                                                                                                                        | 499,944              |             |                                                                                                                                         | AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 512,033                                                                                                                                                       |
|                                                                                                                                                                        | 699,990              |             |                                                                                                                                         | Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 703,123                                                                                                                                                       |
|                                                                                                                                                                        | 1,088,854            |             |                                                                                                                                         | B2R Mortgage Trust 2015-1, 2.524%, 5/15/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,085,227                                                                                                                                                     |
|                                                                                                                                                                        | 293,936              | 0.69             |                                                                                                                                         | Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 291,648                                                                                                                                                       |
|                                                                                                                                                                        | 1,462,628            |             |                                                                                                                                         | Bayview Financial Mortgage Pass-Through Trust 2006-A, 5.865%, 2/28/41 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,519,840                                                                                                                                                     |
|                                                                                                                                                                        | 783,478              | 0.64             |                                                                                                                                         | Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 778,027                                                                                                                                                       |
|                                                                                                                                                                        | 1,650,000            |             |                                                                                                                                         | BCC Funding Corp X, 3.622%, 11/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,670,691                                                                                                                                                     |
|                                                                                                                                                                        | 1,316,281            | 0.69             |                                                                                                                                         | Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,310,444                                                                                                                                                     |
|                                                                                                                                                                        | 781,967              | 0.68             |                                                                                                                                         | Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 765,931                                                                                                                                                       |
|                                                                                                                                                                        | 2,600,216            |             |                                                                                                                                         | BXG Receivables Note Trust 2015-A, 2.88%, 5/2/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,609,952                                                                                                                                                     |
|                                                                                                                                                                        | 141,187              |             |                                                                                                                                         | California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 141,207                                                                                                                                                       |
|                                                                                                                                                                        | 2,900,000            |             |                                                                                                                                         | Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,911,458                                                                                                                                                     |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 3,052,029                                                                                                                                                     |
|                                                                                                                                                                        | 31,075               | 0.60             |                                                                                                                                         | Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 30,956                                                                                                                                                        |
|                                                                                                                                                                        | 1,600,000            | 1.95             |                                                                                                                                         | Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,602,510                                                                                                                                                     |
|                                                                                                                                                                        | 400,000              | 1.40             |                                                                                                                                         | Chesapeake Funding LLC, Floating Rate Note, 3/4/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 399,222                                                                                                                                                       |
|                                                                                                                                                                        | 1,400,000            |             |                                                                                                                                         | CIT Equipment Collateral 2014-VT1, 2.65%, 2/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,417,392                                                                                                                                                     |
|                                                                                                                                                                        | 933,523              | 0.95             |                                                                                                                                         | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 928,732                                                                                                                                                       |
|                                                                                                                                                                        | 3,776,850            |             |                                                                                                                                         | CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,911,627                                                                                                                                                     |
|                                                                                                                                                                        | 547,891              |             |                                                                                                                                         | CNH Equipment Trust 2013-A, 0.69%, 6/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 547,912                                                                                                                                                       |
|                                                                                                                                                                        | 1,800,000            | 2.10             |                                                                                                                                         | Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,759,520                                                                                                                                                     |
|                                                                                                                                                                        | 1,617,995            |             |                                                                                                                                         | Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,624,446                                                                                                                                                     |
|                                                                                                                                                                        | 1,935,480            | 4.79             |                                                                                                                                         | Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,985,209                                                                                                                                                     |
|                                                                                                                                                                        | 915,913              | 0.50             |                                                                                                                                         | Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 906,194                                                                                                                                                       |
|                                                                                                                                                                        | 524,355              | 1.24             |                                                                                                                                         | CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 521,563                                                                                                                                                       |
|                                                                                                                                                                        | 4,975,000            |             |                                                                                                                                         | DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 5,017,825                                                                                                                                                     |
|                                                                                                                                                                        | 874,278              |             |                                                                                                                                         | Diamond Resorts Owner Trust 2015-1, 3.17%, 7/20/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 882,153                                                                                                                                                       |
|                                                                                                                                                                        | 3,914,279            |             |                                                                                                                                         | Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,031,574                                                                                                                                                     |
|                                                                                                                                                                        | 1,083,345            | 3.14             |                                                                                                                                         | Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,096,859                                                                                                                                                     |
|                                                                                                                                                                        | 63,239               |             |                                                                                                                                         | First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 63,271                                                                                                                                                        |
|                                                                                                                                                                        | 1,200,000            |             |                                                                                                                                         | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,196,862                                                                                                                                                     |
|                                                                                                                                                                        | 2,100,000            |             |                                                                                                                                         | First Investors Auto Owner Trust 2014-3, 2.97%, 11/16/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,110,395                                                                                                                                                     |
|                                                                                                                                                                        | 510,000              |             |                                                                                                                                         | First Investors Auto Owner Trust 2015-1, 3.59%, 1/18/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 506,082                                                                                                                                                       |
|                                                                                                                                                                        | 24,023               | 0.59             |                                                                                                                                         | First NLC Trust 2005-2, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 24,009                                                                                                                                                        |
|                                                                                                                                                                        | 777,004              |             |                                                                                                                                         | GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 781,113                                                                                                                                                       |
|                                                                                                                                                                        | 425,088              | 0.94             |                                                                                                                                         | GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 417,520                                                                                                                                                       |
|                                                                                                                                                                        | 1,244,634            | 1.54             |                                                                                                                                         | GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,199,628                                                                                                                                                     |
|                                                                                                                                                                        | 652,201              | 0.49             |                                                                                                                                         | GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 620,433                                                                                                                                                       |
|                                                                                                                                                                        | 2,920,000            |             |                                                                                                                                         | Hercules Capital Funding Trust 2014-1, 3.524%, 4/16/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,930,038                                                                                                                                                     |
|                                                                                                                                                                        | 1,620,000            |             |                                                                                                                                         | HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,618,380                                                                                                                                                     |
|                                                                                                                                                                        | 224,000              |             |                                                                                                                                         | HLSS Servicer Advance Receivables Trust, 3.96%, 10/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 223,955                                                                                                                                                       |
|                                                                                                                                                                        | 2,989,000            |             |                                                                                                                                         | HOA Funding LLC, 4.846%, 8/22/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,972,665                                                                                                                                                     |
|                                                                                                                                                                        | 312,942              | 0.57             |                                                                                                                                         | Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 311,411                                                                                                                                                       |
|                                                                                                                                                                        | 653,682              |             |                                                                                                                                         | Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 655,725                                                                                                                                                       |
|                                                                                                                                                                        | 943,857              | 1.42             |                                                                                                                                         | HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 941,074                                                                                                                                                       |
|                                                                                                                                                                        | 1,482,745            |             |                                                                                                                                         | Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,501,326                                                                                                                                                     |
|                                                                                                                                                                        | 336,416              |             |                                                                                                                                         | Icon Brand Holdings LLC, 4.352%, 1/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 342,007                                                                                                                                                       |
|                                                                                                                                                                        | 1,700,000            | 1.41             |                                                                                                                                         | Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,672,445                                                                                                                                                     |
|                                                                                                                                                                        | 257,275              |             |                                                                                                                                         | Irwin Home Equity Loan Trust 2005-1, 5.82%, 6/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 254,740                                                                                                                                                       |
|                                                                                                                                                                        | 3,024,362            | 0.42             |                                                                                                                                         | Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,822,812                                                                                                                                                     |
|                                                                                                                                                                        | 587,213              | 1.69             |                                                                                                                                         | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 580,203                                                                                                                                                       |
|                                                                                                                                                                        | 640,408              |             |                                                                                                                                         | JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 682,359                                                                                                                                                       |
|                                                                                                                                                                        | 550,000              |             |                                                                                                                                         | Leaf Receivables Funding 10 LLC, 2.74%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 546,037                                                                                                                                                       |
|                                                                                                                                                                        | 170,598              |             |                                                                                                                                         | Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 170,643                                                                                                                                                       |
|                                                                                                                                                                        | 2,203,000            |             |                                                                                                                                         | Leaf Receivables Funding 8 LLC, 1.92%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 2,205,181                                                                                                                                                     |
|                                                                                                                                                                        | 247,725              |             |                                                                                                                                         | Lehman ABS Manufactured Housing Contract Trust 2001-B, 3.01%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 248,882                                                                                                                                                       |
|                                                                                                                                                                        | 250,698              |             |                                                                                                                                         | Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 263,906                                                                                                                                                       |
|                                                                                                                                                                        | 156,019              | 2.44             |                                                                                                                                         | Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 156,006                                                                                                                                                       |
|                                                                                                                                                                        | 646,214              |             |                                                                                                                                         | Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 675,188                                                                                                                                                       |
|                                                                                                                                                                        | 949,015              |             |                                                                                                                                         | Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 956,069                                                                                                                                                       |
|                                                                                                                                                                        | 225,190              | 0.34             |                                                                                                                                         | Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 220,446                                                                                                                                                       |
|                                                                                                                                                                        | 908,073              | 0.90             |                                                                                                                                         | New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 900,704                                                                                                                                                       |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Newstar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,496,728                                                                                                                                                     |
|                                                                                                                                                                        | 1,050,000            |             |                                                                                                                                         | NextGear Floorplan Master Owner Trust, 1.92%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,055,498                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 998,988                                                                                                                                                       |
|                                                                                                                                                                        | 430,000              | 1.84             |                                                                                                                                         | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 423,387                                                                                                                                                       |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,616,125                                                                                                                                                     |
|                                                                                                                                                                        | 493,061              | 5.91             |                                                                                                                                         | Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 515,809                                                                                                                                                       |
|                                                                                                                                                                        | 341,284              | 5.46             |                                                                                                                                         | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 346,492                                                                                                                                                       |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,611,824                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 1.06             |                                                                                                                                         | PFS Financing Corp., Floating Rate Note, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 997,634                                                                                                                                                       |
|                                                                                                                                                                        | 3,200,000            |             |                                                                                                                                         | Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 3,214,868                                                                                                                                                     |
|                                                                                                                                                                        | 2,000,000            |             |                                                                                                                                         | Progreso Receivables Funding LLC, 3.0%, 7/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,003,656                                                                                                                                                     |
|                                                                                                                                                                        | 180,000              | 2.46             |                                                                                                                                         | Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 179,036                                                                                                                                                       |
|                                                                                                                                                                        | 2,700,000            | 2.61             |                                                                                                                                         | Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,677,792                                                                                                                                                     |
|                                                                                                                                                                        | 787,873              | 0.44             |                                                                                                                                         | RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 777,749                                                                                                                                                       |
|                                                                                                                                                                        | 287,817              |             |                                                                                                                                         | Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 288,768                                                                                                                                                       |
|                                                                                                                                                                        | 850,000              |             |                                                                                                                                         | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 856,107                                                                                                                                                       |
|                                                                                                                                                                        | 24,128               | 2.67             |                                                                                                                                         | SASCO Mortgage Pass-Through Certificates Series 2004-S4, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 24,127                                                                                                                                                        |
|                                                                                                                                                                        | 898,456              |             |                                                                                                                                         | Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 906,550                                                                                                                                                       |
|                                                                                                                                                                        | 176,258              |             |                                                                                                                                         | Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 176,847                                                                                                                                                       |
|                                                                                                                                                                        | 3,360,000            | 2.26             |                                                                                                                                         | Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,278,218                                                                                                                                                     |
|                                                                                                                                                                        | 917,885              |             |                                                                                                                                         | Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 917,885                                                                                                                                                       |
|                                                                                                                                                                        | 3,300,000            |             |                                                                                                                                         | Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,406,699                                                                                                                                                     |
|                                                                                                                                                                        | 267,529              |             |                                                                                                                                         | Spirit Master Funding LLC, 5.74%, 3/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 297,035                                                                                                                                                       |
|                                                                                                                                                                        | 700,000              |             |                                                                                                                                         | Spirit Master Funding VII LLC, 3.8868%, 12/21/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 722,807                                                                                                                                                       |
|                                                                                                                                                                        | 1,739,360            |             |                                                                                                                                         | SpringCastle America Funding LLC, 2.7%, 5/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,741,739                                                                                                                                                     |
|                                                                                                                                                                        | 1,008,209            |             |                                                                                                                                         | Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,010,545                                                                                                                                                     |
|                                                                                                                                                                        | 1,200,000            |             |                                                                                                                                         | Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,200,514                                                                                                                                                     |
|                                                                                                                                                                        | 565,000              | 2.66             |                                                                                                                                         | Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 565,260                                                                                                                                                       |
|                                                                                                                                                                        | 1,397,083            |             |                                                                                                                                         | Store Master Funding I LLC, 3.75%, 4/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,408,645                                                                                                                                                     |
|                                                                                                                                                                        | 288,002              |             |                                                                                                                                         | STORE Master Funding LLC, 4.16%, 3/20/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 299,033                                                                                                                                                       |
|                                                                                                                                                                        | 2,002,771            |             |                                                                                                                                         | STORE Master Funding LLC, 5.77%, 8/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,170,924                                                                                                                                                     |
|                                                                                                                                                                        | 993,391              | 0.39             |                                                                                                                                         | Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 973,054                                                                                                                                                       |
|                                                                                                                                                                        | 1,417,110            | 0.41             |                                                                                                                                         | Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 1,404,575 |
|                                                                                                                                                                        | 59,029               |             |                                                                                                                                         | Structured Asset Securities Corp., 4.77%, 10/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 61,185                                                                                                                                                        |
|                                                                                                                                                                        | 1,420,554            |             |                                                                                                                                         | Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,419,346                                                                                                                                                     |
|                                                                                                                                                                        | 490,545              |             |                                                                                                                                         | SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 488,625                                                                                                                                                       |
|                                                                                                                                                                        | 771,441              | 1.13             |                                                                                                                                         | Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 750,603                                                                                                                                                       |
|                                                                                                                                                                        | 361,106              |             |                                                                                                                                         | Terwin Mortgage Trust Series TMTS 2005-12ALT, 4.96169%, 7/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 365,889                                                                                                                                                       |
|                                                                                                                                                                        | 2,535,703            |             |                                                                                                                                         | Terwin Mortgage Trust Series TMTS 2005-16HE, 4.34011%, 9/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 2,612,144                                                                                                                                                     |
|                                                                                                                                                                        | 800,000              | 2.46             |                                                                                                                                         | Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 801,324                                                                                                                                                       |
|                                                                                                                                                                        | 2,140,000            |             |                                                                                                                                         | United Auto Credit Securitization Trust 2015-1, 2.92%, 6/17/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 2,152,921                                                                                                                                                     |
|                                                                                                                                                                        | 3,629,559            |             |                                                                                                                                         | US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,624,013                                                                                                                                                     |
|                                                                                                                                                                        | 1,661,734            |             |                                                                                                                                         | VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,656,055                                                                                                                                                     |
|                                                                                                                                                                        | 3,639,446            |             |                                                                                                                                         | VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 3,625,474                                                                                                                                                     |
|                                                                                                                                                                        | 2,842,349            |             |                                                                                                                                         | VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,828,708                                                                                                                                                     |
|                                                                                                                                                                        | 3,355,417            |             |                                                                                                                                         | VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,348,820                                                                                                                                                     |
|                                                                                                                                                                        | 1,821,623            |             |                                                                                                                                         | Welk Resorts 2015-A LLC, 2.79%, 6/16/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,829,020                                                                                                                                                     |
|                                                                                                                                                                        | 739,152              |             |                                                                                                                                         | Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 738,228                                                                                                                                                       |
|                                                                                                                                                                        | 1,019,065            |             |                                                                                                                                         | Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,029,143                                                                                                                                                     |
|                                                                                                                                                                        | 2,503,545            |             |                                                                                                                                         | Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,486,334                                                                                                                                                     |
|                                                                                                                                                                        | 2,455,306            |             |                                                                                                                                         | Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,460,904                                                                                                                                                     |
|                                                                                                                                                                        | 122,977              |             |                                                                                                                                         | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 123,055                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $160,662,701)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 161,609,677                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | COLLATERALIZED MORTGAGE OBLIGATIONS - 19.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Energy - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 346,247              |             |                                                                                                                                         | A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 347,345                                                                                                                                                       |
|                                                                                                                                                                        | 1,843,620            |             |                                                                                                                                         | A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,856,337                                                                                                                                                     |
|                                                                                                                                                                        | 8,096,339            | 3.50             |                                                                                                                                         | Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 8,177,618                                                                                                                                                     |
|                                                                                                                                                                        | 6,078,228            | 3.50             |                                                                                                                                         | Agate Bay Mortgage Trust 2015-2, Floating Rate Note, 3/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 6,237,781                                                                                                                                                     |
|                                                                                                                                                                        | 4,976,967            | 3.50             |                                                                                                                                         | Agate Bay Mortgage Trust 2015-5, Floating Rate Note, 7/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 5,050,671                                                                                                                                                     |
|                                                                                                                                                                        | 361,925              | 0.64             |                                                                                                                                         | Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 346,675                                                                                                                                                       |
|                                                                                                                                                                        | 1,425,553            |             |                                                                                                                                         | Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,491,474                                                                                                                                                     |
|                                                                                                                                                                        | 42,654               |             |                                                                                                                                         | Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 42,700                                                                                                                                                        |
|                                                                                                                                                                        | 9,407,000            | 1.09             |                                                                                                                                         | Alternative Loan Trust 2004-J5, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 8,690,713                                                                                                                                                     |
|                                                                                                                                                                        | 5,000,000            | 1.96             |                                                                                                                                         | Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,000,000                                                                                                                                                     |
|                                                                                                                                                                        | 2,580,000            | 2.41             |                                                                                                                                         | BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,578,418                                                                                                                                                     |
|                                                                                                                                                                        | 1,600,000            | 2.16             |                                                                                                                                         | BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,596,320                                                                                                                                                     |
|                                                                                                                                                                        | 4,200,000            | 1.92             |                                                                                                                                         | BAMLL Commercial Mortgage Securities Trust 2015-ASHF, Floating Rate Note, 1/18/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,193,532                                                                                                                                                     |
|                                                                                                                                                                        | 5,250,000            | 0.00             |                                                                                                                                         | BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 5,170,946                                                                                                                                                     |
|                                                                                                                                                                        | 572,476              |             |                                                                                                                                         | Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 593,021                                                                                                                                                       |
|                                                                                                                                                                        | 1,050,673            |             |                                                                                                                                         | Banc of America Alternative Loan Trust 2004-6, 5.0%, 7/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,077,679                                                                                                                                                     |
|                                                                                                                                                                        | 640,941              | 5.37             |                                                                                                                                         | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 641,499                                                                                                                                                       |
|                                                                                                                                                                        | 600,319              |             |                                                                                                                                         | Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 622,208                                                                                                                                                       |
|                                                                                                                                                                        | 1,045,340            | 2.75             |                                                                                                                                         | Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,053,060                                                                                                                                                     |
|                                                                                                                                                                        | 693,109              |             |                                                                                                                                         | Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 708,407                                                                                                                                                       |
|                                                                                                                                                                        | 847,709              |             |                                                                                                                                         | Banc of America Mortgage Trust 2004-9, 5.5%, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 880,998                                                                                                                                                       |
|                                                                                                                                                                        | 8,193,412            |             |                                                                                                                                         | Bayview Commercial Asset Trust 2007-2, 7/27/37 (Step) (144A) (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                           - |
|                                                                                                                                                                        | 238,044              | 1.19             |                                                                                                                                         | Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 237,761                                                                                                                                                       |
|                                                                                                                                                                        | 1,531,111            | 0.89             |                                                                                                                                         | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,493,957                                                                                                                                                     |
|                                                                                                                                                                        | 2,486,658            | 0.79             |                                                                                                                                         | Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,380,724                                                                                                                                                     |
|                                                                                                                                                                        | 889,003              | 0.75             |                                                                                                                                         | Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 864,882                                                                                                                                                       |
|                                                                                                                                                                        | 2,824,502            | 2.73             |                                                                                                                                         | Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,801,214                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 5.21             |                                                                                                                                         | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 999,196                                                                                                                                                       |
|                                                                                                                                                                        | 1,780,187            | 5.80             |                                                                                                                                         | Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,792,362                                                                                                                                                     |
|                                                                                                                                                                        | 1,528,251            | 0.92             |                                                                                                                                         | Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,359,957                                                                                                                                                     |
|                                                                                                                                                                        | 2,210,000            | 2.16             |                                                                                                                                         | BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,177,491                                                                                                                                                     |
|                                                                                                                                                                        | 2,460,000            | 2.06             |                                                                                                                                         | Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,472,600                                                                                                                                                     |
|                                                                                                                                                                        | 4,000,000            | 2.71             |                                                                                                                                         | CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,975,396                                                                                                                                                     |
|                                                                                                                                                                        | 464,193              | 2.64             |                                                                                                                                         | CHL Mortgage Pass-Through Trust 2003-56, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 467,715                                                                                                                                                       |
|                                                                                                                                                                        | 5,000,000            |             |                                                                                                                                         | Citigroup Commercial Mortgage Trust 2014-GC25 REMICS, 3.371%, 10/11/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 5,197,350                                                                                                                                                     |
|                                                                                                                                                                        | 97,506               | 1.20             |                                                                                                                                         | Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 97,437                                                                                                                                                        |
|                                                                                                                                                                        | 2,920,305            | 2.26             |                                                                                                                                         | Citigroup Mortgage Loan Trust, Inc. REMICS, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,897,675                                                                                                                                                     |
|                                                                                                                                                                        | 998,933              |             |                                                                                                                                         | Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,072,961                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 4.65             |                                                                                                                                         | City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,007,878                                                                                                                                                     |
|                                                                                                                                                                        | 2,837,631            |             |                                                                                                                                         | Colony Multifamily Mortgage Trust 2014-1, 2.5432%, 4/22/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,836,777                                                                                                                                                     |
|                                                                                                                                                                        | 450,000              |             |                                                                                                                                         | COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 477,967                                                                                                                                                       |
|                                                                                                                                                                        | 850,000              |             |                                                                                                                                         | COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 881,141                                                                                                                                                       |
|                                                                                                                                                                        | 915,000              |             |                                                                                                                                         | COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 926,284                                                                                                                                                       |
|                                                                                                                                                                        | 4,000,000            |             |                                                                                                                                         | COMM 2012-LC4 Mortgage Trust, 4.063%, 12/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,303,384                                                                                                                                                     |
|                                                                                                                                                                        | 4,200,000            | 5.34             |                                                                                                                                         | COMM 2013-CCRE11 Mortgage Trust, Floating Rate Note, 8/12/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 4,490,711                                                                                                                                                     |
|                                                                                                                                                                        | 1,900,000            |             |                                                                                                                                         | COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,935,363                                                                                                                                                     |
|                                                                                                                                                                        | 3,800,000            | 2.36             |                                                                                                                                         | COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,779,719                                                                                                                                                     |
|                                                                                                                                                                        | 4,150,000            | 1.96             |                                                                                                                                         | COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 4,128,582                                                                                                                                                     |
|                                                                                                                                                                        | 1,750,000            | 3.81             |                                                                                                                                         | COMM 2015-CCRE23 Mortgage Trust, Floating Rate Note, 5/12/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,794,006                                                                                                                                                     |
|                                                                                                                                                                        | 5,204,000            | 4.70             |                                                                                                                                         | COMM 2015-CCRE25 Mortgage Trust, Floating Rate Note, 8/12/48                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 5,434,792                                                                                                                                                     |
|                                                                                                                                                                        | 3,850,000            |             |                                                                                                                                         | Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,898,260                                                                                                                                                     |
|                                                                                                                                                                        | 1,239,934            | 2.14             |                                                                                                                                         | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,237,699                                                                                                                                                     |
|                                                                                                                                                                        | 2,356,684            |             |                                                                                                                                         | Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,446,174                                                                                                                                                     |
|                                                                                                                                                                        | 162,197              |             |                                                                                                                                         | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 164,384                                                                                                                                                       |
|                                                                                                                                                                        | 2,700,000            | 2.46             |                                                                                                                                         | CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,677,312                                                                                                                                                     |
|                                                                                                                                                                        | 6,833,530            | 1.55             |                                                                                                                                         | CSMC Trust 2013-IVR2, Floating Rate Note, 4/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,400,960                                                                                                                                                     |
|                                                                                                                                                                        | 3,013,098            | 3.00             |                                                                                                                                         | CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,015,711                                                                                                                                                     |
|                                                                                                                                                                        | 2,198,631            | 3.00             |                                                                                                                                         | CSMC Trust 2013-IVR4, Floating Rate Note, 7/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,216,059                                                                                                                                                     |
|                                                                                                                                                                        | 5,754,960            | 3.00             |                                                                                                                                         | CSMC Trust 2014-WIN1, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,834,540                                                                                                                                                     |
|                                                                                                                                                                        | 8,846,028            |             |                                                                                                                                         | CSMC Trust 2015-2, 3.0%, 2/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 8,963,492                                                                                                                                                     |
|                                                                                                                                                                        | 1,900,000            | 5.42             |                                                                                                                                         | DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,155,231                                                                                                                                                     |
|                                                                                                                                                                        | 1,895,000            | 1.51             |                                                                                                                                         | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,889,694                                                                                                                                                     |
|                                                                                                                                                                        | 4,049,289            | 3.50             |                                                                                                                                         | EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 4,037,485                                                                                                                                                     |
|                                                                                                                                                                        | 191,663              | 1.30             |                                                                                                                                         | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 190,827                                                                                                                                                       |
|                                                                                                                                                                        | 1,250,000            | 4.30             |                                                                                                                                         | Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,301,385                                                                                                                                                     |
|                                                                                                                                                                        | 2,707                |             |                                                                                                                                         | Federal National Mortgage Association REMICS, 10.3%, 4/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,956                                                                                                                                                         |
|                                                                                                                                                                        | 591,773              |             |                                                                                                                                         | Federal National Mortgage Association REMICS, 4.5%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 635,317                                                                                                                                                       |
|                                                                                                                                                                        | 103,360              |             |                                                                                                                                         | Federal National Mortgage Association REMICS, 5.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 103,406                                                                                                                                                       |
|                                                                                                                                                                        | 56,971               |             |                                                                                                                                         | Federal National Mortgage Association REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 58,436                                                                                                                                                        |
|                                                                                                                                                                        | 590,253              | 1.54             |                                                                                                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 590,164                                                                                                                                                       |
|                                                                                                                                                                        | 850,000              | 5.62             |                                                                                                                                         | FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 956,855                                                                                                                                                       |
|                                                                                                                                                                        | 600,000              | 5.42             |                                                                                                                                         | FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 671,899                                                                                                                                                       |
|                                                                                                                                                                        | 890,000              | 5.37             |                                                                                                                                         | FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 987,606                                                                                                                                                       |
|                                                                                                                                                                        | 1,500,000            | 4.78             |                                                                                                                                         | FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,622,082                                                                                                                                                     |
|                                                                                                                                                                        | 5,380,000            | 4.93             |                                                                                                                                         | FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 5,726,321                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            | 5.05             |                                                                                                                                         | FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,328,345                                                                                                                                                     |
|                                                                                                                                                                        | 900,000              | 3.30             |                                                                                                                                         | FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 914,251                                                                                                                                                       |
|                                                                                                                                                                        | 3,000,000            | 3.27             |                                                                                                                                         | FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,057,237                                                                                                                                                     |
|                                                                                                                                                                        | 2,401,000            | 3.08             |                                                                                                                                         | FREMF Mortgage Trust 2014-K503, Floating Rate Note, 10/25/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,442,204                                                                                                                                                     |
|                                                                                                                                                                        | 3,880,231            | 4.20             |                                                                                                                                         | FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,882,361                                                                                                                                                     |
|                                                                                                                                                                        | 650,000              | 3.54             |                                                                                                                                         | FREMF Mortgage Trust Class B, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 658,642                                                                                                                                                       |
|                                                                                                                                                                        | 2,010,000            | 3.95             |                                                                                                                                         | FREMF Mortgage Trust Class B, Floating Rate Note, 6/25/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,097,777                                                                                                                                                     |
|                                                                                                                                                                        | 4,630,000            | 3.49             |                                                                                                                                         | GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,616,304                                                                                                                                                     |
|                                                                                                                                                                        | 792,570              |             |                                                                                                                                         | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 765,959                                                                                                                                                       |
|                                                                                                                                                                        | 1,962,497            | 0.46             |                                                                                                                                         | Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,879,295                                                                                                                                                     |
|                                                                                                                                                                        | 4,868,357            |             |                                                                                                                                         | Government National Mortgage Association REMICS, 2.1%, 2/16/48                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,918,185                                                                                                                                                     |
|                                                                                                                                                                        | 1,408,831            |             |                                                                                                                                         | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,469,300                                                                                                                                                     |
|                                                                                                                                                                        | 14,422               |             |                                                                                                                                         | Government National Mortgage Association, 4.973%, 4/16/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 14,418                                                                                                                                                        |
|                                                                                                                                                                        | 763,160              |             |                                                                                                                                         | Government National Mortgage Association, 5.25%, 8/16/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 855,108                                                                                                                                                       |
|                                                                                                                                                                        | 2,800,000            |             |                                                                                                                                         | GS Mortgage Securities Corp Trust 2012-SHOP, 2.933%, 6/6/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,891,168                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            |             |                                                                                                                                         | GS Mortgage Securities Corp. II, 3.377%, 5/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,312,036                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | GS Mortgage Securities Corp. II, 3.682%, 2/10/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,009,161                                                                                                                                                     |
|                                                                                                                                                                        | 770,466              |             |                                                                                                                                         | GS Mortgage Securities Corp. II, 5.56%, 11/10/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 791,423                                                                                                                                                       |
|                                                                                                                                                                        | 917,564              | 2.66             |                                                                                                                                         | GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 922,462                                                                                                                                                       |
|                                                                                                                                                                        | 2,340,000            | 1.29             |                                                                                                                                         | Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,280,082                                                                                                                                                     |
|                                                                                                                                                                        | 2,100,000            | 1.91             |                                                                                                                                         | Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,106,470                                                                                                                                                     |
|                                                                                                                                                                        | 515,601              | 0.99             |                                                                                                                                         | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 491,379                                                                                                                                                       |
|                                                                                                                                                                        | 249,529              | 0.55             |                                                                                                                                         | Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 243,552                                                                                                                                                       |
|                                                                                                                                                                        | 984,898              | 0.40             |                                                                                                                                         | Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 931,549                                                                                                                                                       |
|                                                                                                                                                                        | 4,260,234            |             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Corp., 2.84%, 12/17/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,312,188                                                                                                                                                     |
|                                                                                                                                                                        | 4,800,000            | 5.56             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 4,841,602                                                                                                                                                     |
|                                                                                                                                                                        | 393,200              | 0.36             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 389,663                                                                                                                                                       |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,657,539                                                                                                                                                     |
|                                                                                                                                                                        | 1,350,000            |             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,476,930                                                                                                                                                     |
|                                                                                                                                                                        | 1,200,000            | 3.98             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 1,242,624 |
|                                                                                                                                                                        | 5,000,000            |             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 REMICS, 3.8046%, 7/17/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 5,302,120                                                                                                                                                     |
|                                                                                                                                                                        | 4,600,000            | 2.16             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 4,555,550 |
|                                                                                                                                                                        | 2,200,000            | 2.41             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 REMICS, Floating Rate Note, 12/16/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 2,196,240 |
|                                                                                                                                                                        | 900,000              | 2.31             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 895,492   |
|                                                                                                                                                                        | 1,260,000            | 1.56             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 1,260,249 |
|                                                                                                                                                                        | 4,600,000            | 2.46             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 4,566,990 |
|                                                                                                                                                                        | 4,000,000            | 0.00             |                                                                                                                                         | JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 4,000,000 |
|                                                                                                                                                                        | 188,976              | 2.62             |                                                                                                                                         | JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 188,464                                                                                                                                                       |
|                                                                                                                                                                        | 1,332,293            | 2.55             |                                                                                                                                         | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,361,170                                                                                                                                                     |
|                                                                                                                                                                        | 499,291              | 2.49             |                                                                                                                                         | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 507,162                                                                                                                                                       |
|                                                                                                                                                                        | 645,312              |             |                                                                                                                                         | JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 666,998                                                                                                                                                       |
|                                                                                                                                                                        | 1,558,908            |             |                                                                                                                                         | JP Morgan Mortgage Trust 2004-S1, 6.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,639,894                                                                                                                                                     |
|                                                                                                                                                                        | 6,097,060            | 3.00             |                                                                                                                                         | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 6,043,637                                                                                                                                                     |
|                                                                                                                                                                        | 7,445,507            | 2.50             |                                                                                                                                         | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 7,463,324                                                                                                                                                     |
|                                                                                                                                                                        | 1,800,227            | 3.53             |                                                                                                                                         | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,783,618                                                                                                                                                     |
|                                                                                                                                                                        | 2,485,631            | 3.00             |                                                                                                                                         | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,527,571                                                                                                                                                     |
|                                                                                                                                                                        | 1,417,941            | 3.50             |                                                                                                                                         | JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,443,255                                                                                                                                                     |
|                                                                                                                                                                        | 1,434,660            | 3.50             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,467,031                                                                                                                                                     |
|                                                                                                                                                                        | 8,005,888            | 3.00             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 8,176,637                                                                                                                                                     |
|                                                                                                                                                                        | 7,292,830            | 3.42             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 7,524,520                                                                                                                                                     |
|                                                                                                                                                                        | 1,438,179            | 3.43             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-2, Floating Rate Note, 6/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,413,711                                                                                                                                                     |
|                                                                                                                                                                        | 5,179,737            | 3.00             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 5,306,398                                                                                                                                                     |
|                                                                                                                                                                        | 2,407,110            | 3.03             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,359,616                                                                                                                                                     |
|                                                                                                                                                                        | 5,854,610            | 4.09             |                                                                                                                                         | JP Morgan Mortgage Trust 2014-OAK4, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 6,070,551                                                                                                                                                     |
|                                                                                                                                                                        | 9,378,325            | 3.50             |                                                                                                                                         | JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 9,567,136                                                                                                                                                     |
|                                                                                                                                                                        | 7,151,321            | 0.69             |                                                                                                                                         | JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 6,825,590                                                                                                                                                     |
|                                                                                                                                                                        | 6,333,083            | 3.00             |                                                                                                                                         | JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 6,399,239                                                                                                                                                     |
|                                                                                                                                                                        | 3,314,464            | 3.74             |                                                                                                                                         | JP Morgan Trust 2015-3 REMICS, Floating Rate Note, 5/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,241,026                                                                                                                                                     |
|                                                                                                                                                                        | 451,454              | 2.50             |                                                                                                                                         | La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 470,686                                                                                                                                                       |
|                                                                                                                                                                        | 3,884,979            | 3.26             |                                                                                                                                         | La Hipotecaria Panamanian Mortgage Trust 2014-1, Floating Rate Note, 11/24/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,967,535                                                                                                                                                     |
|                                                                                                                                                                        | 136,244              |             |                                                                                                                                         | LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 137,522                                                                                                                                                       |
|                                                                                                                                                                        | 197,021              | 1.15             |                                                                                                                                         | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class 1A4, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 196,037   |
|                                                                                                                                                                        | 3,690,000            | 3.50             |                                                                                                                                         | LSTAR Commercial Mortgage Trust 2015-3, Floating Rate Note, 4/20/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,639,576                                                                                                                                                     |
|                                                                                                                                                                        | 10,464,537           | 2.20             |                                                                                                                                         | LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 10,412,174                                                                                                                                                    |
|                                                                                                                                                                        | 4,701,228            | 2.19             |                                                                                                                                         | LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 4,696,046                                                                                                                                                     |
|                                                                                                                                                                        | 2,387,141            | 2.20             |                                                                                                                                         | LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 2,369,317                                                                                                                                                     |
|                                                                                                                                                                        | 5,347,440            | 2.20             |                                                                                                                                         | LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 5,283,502                                                                                                                                                     |
|                                                                                                                                                                        | 2,024,782            | 2.20             |                                                                                                                                         | LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 2,018,689                                                                                                                                                     |
|                                                                                                                                                                        | 726,469              | 0.65             |                                                                                                                                         | Mellon Residential Funding Corp. Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 692,737   |
|                                                                                                                                                                        | 2,748,478            | 0.46             |                                                                                                                                         | Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,638,228                                                                                                                                                     |
|                                                                                                                                                                        | 1,640,335            | 0.75             |                                                                                                                                         | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,544,142                                                                                                                                                     |
|                                                                                                                                                                        | 1,371,633            | 5.29             |                                                                                                                                         | Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,371,278                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 6.03             |                                                                                                                                         | Merrill Lynch Mortgage Trust 2007-C1, Floating Rate Note, 6/12/50                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,042,759                                                                                                                                                     |
|                                                                                                                                                                        | 1,800,882            | 5.65             |                                                                                                                                         | ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,811,121                                                                                                                                                     |
|                                                                                                                                                                        | 4,224,393            |             |                                                                                                                                         | Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,455,116                                                                                                                                                     |
|                                                                                                                                                                        | 2,385,000            | 0.81             |                                                                                                                                         | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,021,359                                                                                                                                                     |
|                                                                                                                                                                        | 3,168,516            | 0.97             |                                                                                                                                         | MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,032,434                                                                                                                                                     |
|                                                                                                                                                                        | 2,499,299            | 3.75             |                                                                                                                                         | New Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 1/25/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,580,831                                                                                                                                                     |
|                                                                                                                                                                        | 4,093,670            | 3.75             |                                                                                                                                         | New Residential Mortgage Loan Trust 2014-2, Floating Rate Note, 5/26/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,268,756                                                                                                                                                     |
|                                                                                                                                                                        | 3,098,187            | 3.75             |                                                                                                                                         | New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,205,743                                                                                                                                                     |
|                                                                                                                                                                        | 10,788,945           | 3.75             |                                                                                                                                         | New Residential Mortgage Loan Trust 2015-1, Floating Rate Note, 5/28/52 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 10,957,252                                                                                                                                                    |
|                                                                                                                                                                        | 6,290,315            | 3.32             |                                                                                                                                         | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 6,194,828                                                                                                                                                     |
|                                                                                                                                                                        | 3,742,366            | 3.32             |                                                                                                                                         | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,647,512                                                                                                                                                     |
|                                                                                                                                                                        | 4,810,928            | 3.25             |                                                                                                                                         | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 4,774,553                                                                                                                                                     |
|                                                                                                                                                                        | 4,962,902            | 3.25             |                                                                                                                                         | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 5,068,230                                                                                                                                                     |
|                                                                                                                                                                        | 6,096,373            | 0.58             |                                                                                                                                         | Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 5,624,672                                                                                                                                                     |
|                                                                                                                                                                        | 624,068              |             |                                                                                                                                         | ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 624,068                                                                                                                                                       |
|                                                                                                                                                                        | 35,396               |             |                                                                                                                                         | PHH Mortgage Capital LLC, 3.11255%, 12/25/27 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 35,320                                                                                                                                                        |
|                                                                                                                                                                        | 320,486              |             |                                                                                                                                         | RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 326,097                                                                                                                                                       |
|                                                                                                                                                                        | 898,126              | 0.75             |                                                                                                                                         | RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 831,032                                                                                                                                                       |
|                                                                                                                                                                        | 302,434              |             |                                                                                                                                         | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 306,293                                                                                                                                                       |
|                                                                                                                                                                        | 787,397              |             |                                                                                                                                         | RALI Series 2004-QS3 Trust, 5.0%, 3/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 804,158                                                                                                                                                       |
|                                                                                                                                                                        | 3,004,163            | 1.85             |                                                                                                                                         | RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,805,170                                                                                                                                                     |
|                                                                                                                                                                        | 734,097              |             |                                                                                                                                         | RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 749,635                                                                                                                                                       |
|                                                                                                                                                                        | 3,399,719            |             |                                                                                                                                         | RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,399,229                                                                                                                                                     |
|                                                                                                                                                                        | 5,206,342            | 1.81             |                                                                                                                                         | Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 4,841,903                                                                                                                                                     |
|                                                                                                                                                                        | 7,018,830            | 3.58             |                                                                                                                                         | Sequoia Mortgage Trust 2013-10, Floating Rate Note, 8/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 7,024,109                                                                                                                                                     |
|                                                                                                                                                                        | 7,520,736            | 3.54             |                                                                                                                                         | Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,535,530                                                                                                                                                     |
|                                                                                                                                                                        | 7,746,771            | 2.33             |                                                                                                                                         | Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 7,328,437                                                                                                                                                     |
|                                                                                                                                                                        | 6,271,234            | 3.51             |                                                                                                                                         | Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 6,244,612                                                                                                                                                     |
|                                                                                                                                                                        | 3,032,745            | 2.50             |                                                                                                                                         | Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,899,589                                                                                                                                                     |
|                                                                                                                                                                        | 2,709,274            | 3.00             |                                                                                                                                         | Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,664,403                                                                                                                                                     |
|                                                                                                                                                                        | 7,423,144            | 2.50             |                                                                                                                                         | Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,217,849                                                                                                                                                     |
|                                                                                                                                                                        | 11,680,588           | 2.50             |                                                                                                                                         | Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 11,149,519                                                                                                                                                    |
|                                                                                                                                                                        | 3,967,593            | 3.00             |                                                                                                                                         | Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,930,401                                                                                                                                                     |
|                                                                                                                                                                        | 675,566              | 2.25             |                                                                                                                                         | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 657,806                                                                                                                                                       |
|                                                                                                                                                                        | 741,147              | 3.00             |                                                                                                                                         | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 727,483                                                                                                                                                       |
|                                                                                                                                                                        | 6,357,383            | 3.55             |                                                                                                                                         | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 6,376,786                                                                                                                                                     |
|                                                                                                                                                                        | 1,751,518            |             |                                                                                                                                         | Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,778,954                                                                                                                                                     |
|                                                                                                                                                                        | 6,718,777            | 3.00             |                                                                                                                                         | Sequoia Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 6,619,097                                                                                                                                                     |
|                                                                                                                                                                        | 9,589,520            | 3.50             |                                                                                                                                         | Sequoia Mortgage Trust 2015-2, Floating Rate Note, 5/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 9,667,809                                                                                                                                                     |
|                                                                                                                                                                        | 48,116               | 3.00             |                                                                                                                                         | Sequoia Mortgage Trust, Floating Rate Note, 9/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 47,499                                                                                                                                                        |
|                                                                                                                                                                        | 750,000              | 3.79             |                                                                                                                                         | Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 754,138                                                                                                                                                       |
|                                                                                                                                                                        | 1,422,725            | 2.06             |                                                                                                                                         | Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,424,615                                                                                                                                                     |
|                                                                                                                                                                        | 624,469              | 2.40             |                                                                                                                                         | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 617,891                                                                                                                                                       |
|                                                                                                                                                                        | 495,508              | 2.50             |                                                                                                                                         | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 489,724                                                                                                                                                       |
|                                                                                                                                                                        | 3,828,417            | 0.90             |                                                                                                                                         | Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,719,843                                                                                                                                                     |
|                                                                                                                                                                        | 1,967,948            | 0.96             |                                                                                                                                         | Structured Asset Mortgage Investments Trust 2003-AR2, Floating Rate Note, 12/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,889,814                                                                                                                                                     |
|                                                                                                                                                                        | 3,895,256            |             |                                                                                                                                         | Structured Asset Securities Corp Trust 2005-17, 5.5%, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,007,576                                                                                                                                                     |
|                                                                                                                                                                        | 562,356              | 2.56             |                                                                                                                                         | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 557,849                                                                                                                                                       |
|                                                                                                                                                                        | 626,186              | 0.50             |                                                                                                                                         | Structured Asset Securities Corp. Trust 2005-14, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 533,728                                                                                                                                                       |
|                                                                                                                                                                        | 729,559              | 2.25             |                                                                                                                                         | Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 724,916                                                                                                                                                       |
|                                                                                                                                                                        | 5,512,848            | 0.93             |                                                                                                                                         | Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 5,294,451                                                                                                                                                     |
|                                                                                                                                                                        | 4,470,000            |             |                                                                                                                                         | TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 4,635,287                                                                                                                                                     |
|                                                                                                                                                                        | 1,435,000            |             |                                                                                                                                         | TimberStar Trust I, 5.7467%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,482,784                                                                                                                                                     |
|                                                                                                                                                                        | 5,100,000            |             |                                                                                                                                         | UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 5,343,326                                                                                                                                                     |
|                                                                                                                                                                        | 1,965,561            | 2.19             |                                                                                                                                         | Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,960,647                                                                                                                                                     |
|                                                                                                                                                                        | 5,437,368            | 2.63             |                                                                                                                                         | Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 5,437,368                                                                                                                                                     |
|                                                                                                                                                                        | 1,189,488            |             |                                                                                                                                         | VFC 2015-3 LLC, 2.75%, 12/20/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,187,742                                                                                                                                                     |
|                                                                                                                                                                        | 1,976,727            |             |                                                                                                                                         | VOLT XXX LLC, 3.625%, 10/25/57 (Step) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,973,897                                                                                                                                                     |
|                                                                                                                                                                        | 1,172,925            | 1.01             |                                                                                                                                         | Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,169,022                                                                                                                                                     |
|                                                                                                                                                                        | 1,564,592            |             |                                                                                                                                         | Wells Fargo Commercial Mortgage Trust 2010-C1, 3.349%, 11/18/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,625,303                                                                                                                                                     |
|                                                                                                                                                                        | 1,927,000            |             |                                                                                                                                         | Wells Fargo Commercial Mortgage Trust 2012-LC5 REMICS, 3.539%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,996,416                                                                                                                                                     |
|                                                                                                                                                                        | 4,500,000            |             |                                                                                                                                         | Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 4,711,190                                                                                                                                                     |
|                                                                                                                                                                        | 5,300,000            | 2.06             |                                                                                                                                         | Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 5,206,709                                                                                                                                                     |
|                                                                                                                                                                        | 2,566,000            | 2.97             |                                                                                                                                         | Wells Fargo Credit Risk Transfer Securities Trust 2015, Floating Rate Note, 11/25/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 2,566,000                                                                                                                                                     |
|                                                                                                                                                                        | 6,773,364            | 2.74             |                                                                                                                                         | Wells Fargo Mortgage Backed Securities 2005-AR13 Trust, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 6,807,014                                                                                                                                                     |
|                                                                                                                                                                        | 350,000              | 5.39             |                                                                                                                                         | WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 378,957                                                                                                                                                       |
|                                                                                                                                                                        | 1,323,000            | 5.46             |                                                                                                                                         | WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,412,304                                                                                                                                                     |
|                                                                                                                                                                        | 4,800,000            |             |                                                                                                                                         | WFRBS Commercial Mortgage Trust 2013-C16, 4.136%, 9/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,225,558                                                                                                                                                     |
|                                                                                                                                                                        | 7,496,337            | 3.50             |                                                                                                                                         | WinWater Mortgage Loan Trust 2015-3 REMICS, Floating Rate Note, 3/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 7,610,012                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $610,791,702)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 612,438,846                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | CORPORATE BONDS - 40.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Energy - 4.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Oil & Gas Drilling - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,725,000            |             |                                                                                                                                         | Ensco Plc, 4.5%, 10/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 3,490,523                                                                                                                                                     |
|                                                                                                                                                                        | 1,025,000            |             |                                                                                                                                         | Pride International, Inc., 6.875%, 8/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 975,305                                                                                                                                                       |
|                                                                                                                                                                        | 6,185,000            |             |                                                                                                                                         | Rowan Companies, Inc., 4.75%, 1/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,530,741                                                                                                                                                     |
|                                                                                                                                                                        | 5,505,000            |             |                                                                                                                                         | Rowan Companies, Inc., 5.85%, 1/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,439,827                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 12,436,396                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Oil & Gas Equipment & Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,250,000            |             |                                                                                                                                         | Halliburton Co., 7.6%, 8/15/96 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 2,943,250                                                                                                                                                     |
|                                                                                                                                                                        | 6,050,000            |             |                                                                                                                                         | Helmerich & Payne International Drilling Co., 4.65%, 3/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 6,022,721                                                                                                                                                     |
|                                                                                                                                                                        | 675,000              |             |                                                                                                                                         | Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 469,267                                                                                                                                                       |
|                                                                                                                                                                        | 2,815,000            |             |                                                                                                                                         | Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 3,015,805                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 12,451,043                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Integrated Oil & Gas - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,175,000            |             |                                                                                                                                         | BP Capital Markets Plc, 3.062%, 3/17/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 4,184,665                                                                                                                                                     |
|                                                                                                                                                                        | 5,350,000            |             |                                                                                                                                         | ConocoPhillips Co., 3.35%, 11/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 5,226,511                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Rosneft Finance SA, 7.875%, 3/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,048,562                                                                                                                                                     |
|                                                                                                                                                                        | 10,050,000           |             |                                                                                                                                         | Sinopec Group Overseas Development 2015, Ltd., 2.5%, 4/28/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 9,904,094                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 20,363,832                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Oil & Gas Exploration & Production - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Approach Resources, Inc., 7.0%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 900,000                                                                                                                                                       |
|                                                                                                                                                                        | 2,230,000            |             |                                                                                                                                         | Canadian Natural Resources, Ltd., 6.5%, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,286,486                                                                                                                                                     |
|                                                                                                                                                                        | 1,800,000            |             |                                                                                                                                         | EP Energy LLC, 9.375%, 5/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,548,000                                                                                                                                                     |
|                                                                                                                                                                        | 901,000              |             |                                                                                                                                         | Marathon Oil Corp., 5.9%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 973,194                                                                                                                                                       |
|                                                                                                                                                                        | 2,360,000            |             |                                                                                                                                         | Newfield Exploration Co., 5.375%, 1/1/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,159,400                                                                                                                                                     |
|                                                                                                                                                                        | 1,400,000            |             |                                                                                                                                         | Newfield Exploration Co., 5.625%, 7/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,323,000                                                                                                                                                     |
|                                                                                                                                                                        | 345,396              |             |                                                                                                                                         | Ras Laffan Liquefied Natural Gas Co., Ltd. III, 5.832%, 9/30/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 353,889                                                                                                                                                       |
|                                                                                                                                                                        | 4,150,000            |             |                                                                                                                                         | WPX Energy, Inc., 7.5%, 8/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,797,250                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 13,341,219                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Oil & Gas Refining & Marketing - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,198,000            |             |                                                                                                                                         | EnLink Midstream Partners LP, 4.4%, 4/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 3,996,748                                                                                                                                                     |
|                                                                                                                                                                        | 3,800,000            |             |                                                                                                                                         | Motiva Enterprises LLC, 6.85%, 1/15/40 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 4,280,590                                                                                                                                                     |
|                                                                                                                                                                        | 2,825,000            |             |                                                                                                                                         | Valero Energy Corp., 6.625%, 6/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,103,164                                                                                                                                                     |
|                                                                                                                                                                        | 2,890,000            |             |                                                                                                                                         | Valero Energy Corp., 9.375%, 3/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,524,552                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,905,054                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Oil & Gas Storage & Transportation - 1.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,550,000            |             |                                                                                                                                         | Boardwalk Pipelines LP, 4.95%, 12/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 5,140,760                                                                                                                                                     |
|                                                                                                                                                                        | 5,425,000            |             |                                                                                                                                         | Buckeye Partners LP, 4.15%, 7/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 4,981,121                                                                                                                                                     |
|                                                                                                                                                                        | 2,900,000            |             |                                                                                                                                         | DCP Midstream LLC, 9.75%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,248,461                                                                                                                                                     |
|                                                                                                                                                                        | 3,950,000            | 5.85             |                                                                                                                                         | DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,160,000                                                                                                                                                     |
|                                                                                                                                                                        | 3,825,000            |             |                                                                                                                                         | Enterprise Products Operating LLC, 3.7%, 2/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 3,614,426                                                                                                                                                     |
|                                                                                                                                                                        | 5,310,000            |             |                                                                                                                                         | Enterprise Products Operating LLC, 3.9%, 2/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 5,213,369                                                                                                                                                     |
|                                                                                                                                                                        | 4,675,000            |             |                                                                                                                                         | Kinder Morgan Energy Partners LP, 4.25%, 9/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 4,248,621                                                                                                                                                     |
|                                                                                                                                                                        | 7,335,000            |             |                                                                                                                                         | Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 6,092,708                                                                                                                                                     |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | Plains All American Pipeline LP, 4.65%, 10/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,605,934                                                                                                                                                     |
|                                                                                                                                                                        | 5,300,000            |             |                                                                                                                                         | Plains All American Pipeline LP, 4.9%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,733,393                                                                                                                                                     |
|                                                                                                                                                                        | 3,500,000            |             |                                                                                                                                         | Sabine Pass LNG LP, 6.5%, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,386,250                                                                                                                                                     |
|                                                                                                                                                                        | 2,475,000            |             |                                                                                                                                         | Spectra Energy Capital LLC, 6.2%, 4/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,680,816                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Spectra Energy Capital LLC, 6.75%, 7/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,659,958                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            |             |                                                                                                                                         | Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,972,194                                                                                                                                                     |
|                                                                                                                                                                        | 5,980,000            |             |                                                                                                                                         | The Williams Companies, Inc., 5.75%, 6/24/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,130,225                                                                                                                                                     |
|                                                                                                                                                                        | 2,475,000            |             |                                                                                                                                         | The Williams Companies, Inc., 7.75%, 6/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,192,142                                                                                                                                                     |
|                                                                                                                                                                        | 4,425,000            |             |                                                                                                                                         | TransCanada PipeLines, Ltd., 1.875%, 1/12/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,445,032                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 62,505,410                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Other Diversified Financial Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,275,000            |             |                                                                                                                                         | CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 5,315,090                                                                                                                                                     |
|                                                                                                                                                                        | 4,750,000            |             |                                                                                                                                         | Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,941,867                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 10,256,957                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 146,259,911                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Materials - 2.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Commodity Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,625,000            |             |                                                                                                                                         | Methanex Corp., 4.25%, 12/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,527,437                                                                                                                                                     |
|                                                                                                                                                                        | 40,000               |             |                                                                                                                                         | NOVA Chemicals Corp., 5.0%, 5/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 37,600                                                                                                                                                        |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,565,037                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Chemicals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,845,000            |             |                                                                                                                                         | CF Industries, Inc., 5.15%, 3/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 4,667,310                                                                                                                                                     |
|                                                                                                                                                                        | 980,000              |             |                                                                                                                                         | Eastman Chemical Co., 4.8%, 9/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 946,621                                                                                                                                                       |
|                                                                                                                                                                        | 1,130,000            |             |                                                                                                                                         | WR Grace & Co-Conn, 5.125%, 10/1/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,115,875                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 6,729,806                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Fertilizers & Agricultural Chemicals - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,800,000            |             |                                                                                                                                         | Agrium, Inc., 4.125%, 3/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 2,472,417                                                                                                                                                     |
|                                                                                                                                                                        | 7,600,000            |             |                                                                                                                                         | Agrium, Inc., 5.25%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 7,849,728                                                                                                                                                     |
|                                                                                                                                                                        | 2,675,000            |             |                                                                                                                                         | Monsanto Co., 3.375%, 7/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,572,457                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 12,894,602                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialty Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,025,000            |             |                                                                                                                                         | The Valspar Corp., 3.3%, 2/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 2,911,690                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Construction Materials - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,328,000            |             |                                                                                                                                         | CEMEX Espana SA, 9.875%, 4/30/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 3,576,602                                                                                                                                                     |
|                                                                                                                                                                        | 10,600,000           |             |                                                                                                                                         | CRH America, Inc., 3.875%, 5/18/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 10,616,483                                                                                                                                                    |
|                                                                                                                                                                        | 475,000              |             |                                                                                                                                         | Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 537,734                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,730,819                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Metal & Glass Containers - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,275,000            |             |                                                                                                                                         | Ball Corp., 4.0%, 11/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 2,127,125                                                                                                                                                     |
|                                                                                                                                                                        | 4,000,000            |             |                                                                                                                                         | Ball Corp., 5.25%, 7/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,942,480                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 6,069,605                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Metals & Mining - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,850,000            |             |                                                                                                                                         | Freeport-McMoRan, Inc., 3.875%, 3/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 1,375,938                                                                                                                                                     |
|                                                                                                                                                                        | 1,650,000            |             |                                                                                                                                         | Freeport-McMoRan, Inc., 4.55%, 11/14/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,229,250                                                                                                                                                     |
|                                                                                                                                                                        | 4,000,000            |             |                                                                                                                                         | Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,220,000                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 5,825,188                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Steel - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,550,000            |             |                                                                                                                                         | Commercial Metals Co., 4.875%, 5/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 3,106,250                                                                                                                                                     |
|                                                                                                                                                                        | 1,175,000            |             |                                                                                                                                         | Glencore Funding LLC, 4.125%, 5/30/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 924,578                                                                                                                                                       |
|                                                                                                                                                                        | 3,135,000            |             |                                                                                                                                         | Worthington Industries, Inc., 4.55%, 4/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 3,130,667                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,161,495                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Paper Products - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,285,000            |             |                                                                                                                                         | Clearwater Paper Corp., 4.5%, 2/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,188,625                                                                                                                                                     |
|                                                                                                                                                                        | 6,975,000            |             |                                                                                                                                         | International Paper Co., 3.65%, 6/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 6,893,267                                                                                                                                                     |
|                                                                                                                                                                        | 1,025,000            |             |                                                                                                                                         | International Paper Co., 3.8%, 1/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,009,870                                                                                                                                                     |
|                                                                                                                                                                        | 2,400,000            |             |                                                                                                                                         | International Paper Co., 6.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,583,871                                                                                                                                                     |
|                                                                                                                                                                        | 3,930,000            |             |                                                                                                                                         | Resolute Forest Products, Inc., 5.875%, 5/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,927,850                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,603,483                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 73,491,725                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Capital Goods - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Aerospace & Defense - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,600,000            |             |                                                                                                                                         | DigitalGlobe, Inc., 5.25%, 2/1/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,463,500                                                                                                                                                     |
|                                                                                                                                                                        | 10,250,000           |             |                                                                                                                                         | United Technologies Corp., 1.778%, 5/4/18 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 10,230,238                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 12,693,738                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Building Products - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 7,225,000            |             |                                                                                                                                         | Fortune Brands Home & Security, Inc., 3.0%, 6/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 7,279,159                                                                                                                                                     |
|                                                                                                                                                                        | 1,050,000            |             |                                                                                                                                         | Masco Corp., 4.45%, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,063,125                                                                                                                                                     |
|                                                                                                                                                                        | 825,000              |             |                                                                                                                                         | Masco Corp., 5.95%, 3/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 900,281                                                                                                                                                       |
|                                                                                                                                                                        | 4,260,000            |             |                                                                                                                                         | Masco Corp., 7.125%, 3/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,909,650                                                                                                                                                     |
|                                                                                                                                                                        | 5,150,000            |             |                                                                                                                                         | Owens Corning, 4.2%, 12/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 5,116,010                                                                                                                                                     |
|                                                                                                                                                                        | 3,600,000            | 5.75             |                                                                                                                                         | Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,803,400                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 23,071,625                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,950,000            |             |                                                                                                                                         | Tyco Electronics Group SA, 6.55%, 10/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 3,232,628                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Construction & Farm Machinery & Heavy Trucks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,727,000            |             |                                                                                                                                         | Cummins, Inc., 5.65%, 3/1/98                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 3,982,832                                                                                                                                                     |
|                                                                                                                                                                        | 320,000              |             |                                                                                                                                         | Cummins, Inc., 6.75%, 2/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 406,233                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,389,065                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Industrial Machinery - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 604,000              |             |                                                                                                                                         | Valmont Industries, Inc., 6.625%, 4/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 693,260                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Trading Companies & Distributors - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,800,000            |             |                                                                                                                                         | Aircastle, Ltd., 6.75%, 4/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 2,933,000                                                                                                                                                     |
|                                                                                                                                                                        | 2,260,000            |             |                                                                                                                                         | GATX Corp., 5.2%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,319,962                                                                                                                                                     |
|                                                                                                                                                                        | 5,660,000            |             |                                                                                                                                         | GATX Corp., 6.0%, 2/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 6,149,149                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 11,402,111                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 55,482,427                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Commercial Services & Supplies - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Research & Consulting Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,740,000            |             |                                                                                                                                         | Verisk Analytics, Inc., 5.5%, 6/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 4,658,396                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 4,658,396                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Transportation - 1.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Airlines - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,642,292            |             |                                                                                                                                         | Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 4,682,913                                                                                                                                                     |
|                                                                                                                                                                        | 4,025,000            |             |                                                                                                                                         | Air Canada 2015-1 Class A Pass Through Trust, 3.6%, 9/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,904,250                                                                                                                                                     |
|                                                                                                                                                                        | 4,300,000            |             |                                                                                                                                         | American Airlines 2015-2 Class AA Pass Through Trust, 3.6%, 9/22/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 4,321,500                                                                                                                                                     |
|                                                                                                                                                                        | 2,575,000            |             |                                                                                                                                         | American Airlines 2015-2 Class B Pass Through Trust, 4.4%, 9/22/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,536,375                                                                                                                                                     |
|                                                                                                                                                                        | 2,350,000            |             |                                                                                                                                         | Southwest Airlines Co., 2.75%, 11/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,394,622                                                                                                                                                     |
|                                                                                                                                                                        | 1,405,580            |             |                                                                                                                                         | US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,410,921                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 19,250,581                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Railroads - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        | 12,160,000           |             |                                                                                                                                         | Burlington Northern Santa Fe LLC, 4.15%, 4/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 11,329,326                                                                                                                                                    |
|                                                                                                                                                                        | 6,650,000            |             |                                                                                                                                         | TTX Co., 3.6%, 1/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 6,722,232                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 18,051,558                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Trucking - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 529,000              |             |                                                                                                                                         | Asciano Finance, Ltd., 4.625%, 9/23/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 555,297                                                                                                                                                       |
|                                                                                                                                                                        | 8,850,000            |             |                                                                                                                                         | Penske Truck Leasing Co Lp, 3.375%, 2/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 8,649,486                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 9,204,783                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Highways & Railtracks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,600,000            |             |                                                                                                                                         | ERAC USA Finance LLC, 4.5%, 2/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 4,254,121                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 50,761,043                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Automobiles & Components - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Auto Parts & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,400,000            |             |                                                                                                                                         | Delphi Corp., 4.15%, 3/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 5,445,506                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Automobile Manufacturers - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,975,000            |             |                                                                                                                                         | Ford Motor Credit Co LLC, 2.24%, 6/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 4,960,508                                                                                                                                                     |
|                                                                                                                                                                        | 6,425,000            |             |                                                                                                                                         | Ford Motor Credit Co LLC, 3.219%, 1/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,218,719                                                                                                                                                     |
|                                                                                                                                                                        | 5,000,000            |             |                                                                                                                                         | Toyota Motor Credit Corp., 2.125%, 7/18/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 5,016,425                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 16,195,652                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 21,641,158                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Durables & Apparel - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Home Furnishings - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | Mohawk Industries, Inc., 3.85%, 2/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 811,516                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 811,516                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,010,000            |             |                                                                                                                                         | GLP Capital LP, 4.375%, 11/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 1,017,575                                                                                                                                                     |
|                                                                                                                                                                        | 3,550,000            |             |                                                                                                                                         | MGM Resorts International, 6.0%, 3/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,447,938                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,465,513                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Education Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Bowdoin College, 4.693%, 7/1/12                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 979,646                                                                                                                                                       |
|                                                                                                                                                                        | 2,600,000            |             |                                                                                                                                         | President and Fellows of Harvard College, 2.3%, 10/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,495,428                                                                                                                                                     |
|                                                                                                                                                                        | 3,550,000            |             |                                                                                                                                         | Tufts University, 5.017%, 4/15/12                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,726,772                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,201,846                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialized Consumer Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,300,000            |             |                                                                                                                                         | Sotheby's, 5.25%, 10/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,202,500                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 12,869,859                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Media - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Broadcasting - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,608,000            |             |                                                                                                                                         | CBS Corp., 4.6%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,415,436                                                                                                                                                     |
|                                                                                                                                                                        | 6,200,000            |             |                                                                                                                                         | DIRECTV Holdings LLC, 3.8%, 3/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 6,240,399                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,655,835                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Cable & Satellite - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 7,645,000            |             |                                                                                                                                         | CCO Safari II LLC, 6.384%, 10/23/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 7,734,806                                                                                                                                                     |
|                                                                                                                                                                        | 4,900,000            |             |                                                                                                                                         | DIRECTV Holdings LLC, 3.95%, 1/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 4,806,028                                                                                                                                                     |
|                                                                                                                                                                        | 1,900,000            |             |                                                                                                                                         | Intelsat Jackson Holdings SA, 7.25%, 4/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,781,250                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,322,084                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Movies & Entertainment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 8,300,000            |             |                                                                                                                                         | Time Warner, Inc., 4.7%, 1/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 9,063,451                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 31,041,370                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Retailing - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Catalog Retail - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 7,300,000            |             |                                                                                                                                         | QVC, Inc., 4.45%, 2/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 7,038,521                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Internet Retail - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,900,000            |             |                                                                                                                                         | Expedia, Inc., 4.5%, 8/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 5,920,326                                                                                                                                                     |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | Expedia, Inc., 5.95%, 8/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 886,719                                                                                                                                                       |
|                                                                                                                                                                        | 7,375,000            |             |                                                                                                                                         | The Priceline Group, Inc., 3.65%, 3/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 7,330,381                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,137,426                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Home Improvement Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,520,000            |             |                                                                                                                                         | The Home Depot, Inc., 2.625%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,518,043                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Automotive Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,575,000            |             |                                                                                                                                         | AutoZone, Inc., 2.5%, 4/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 2,550,890                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Homefurnishing Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,000,000            |             |                                                                                                                                         | Bed Bath & Beyond, Inc., 3.749%, 8/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,017,728                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 30,262,608                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Food & Staples Retailing - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Drug Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 650,000              |             |                                                                                                                                         | CVS Health Corp., 2.25%, 8/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 657,008                                                                                                                                                       |
|                                                                                                                                                                        | 637,681              |             |                                                                                                                                         | CVS Pass-Through Trust, 5.298%, 1/11/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 694,626                                                                                                                                                       |
|                                                                                                                                                                        | 1,366,989            |             |                                                                                                                                         | CVS Pass-Through Trust, 5.773%, 1/10/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,505,103                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,856,737                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Food Retail - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 7,472,000            |             |                                                                                                                                         | The Kroger Co., 2.95%, 11/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 7,488,042                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 10,344,779                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Food, Beverage & Tobacco - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Distillers & Vintners - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 630,000              |             |                                                                                                                                         | Constellation Brands, Inc., 3.75%, 5/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 625,275                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Agricultural Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,175,000            |             |                                                                                                                                         | Viterra, Inc., 5.95%, 8/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 4,036,500                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Packaged Foods & Meats - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,200,000            |             |                                                                                                                                         | Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 4,067,532                                                                                                                                                     |
|                                                                                                                                                                        | 3,240,000            |             |                                                                                                                                         | Kraft Foods Group, Inc., 3.5%, 6/6/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,305,591                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,373,123                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Tobacco - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,050,000            |             |                                                                                                                                         | Reynolds American, Inc., 3.75%, 5/20/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,054,754                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 13,089,652                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Equipment & Services - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Equipment - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 10,525,000           |             |                                                                                                                                         | Becton Dickinson and Co., 3.734%, 12/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 10,714,650                                                                                                                                                    |
|                                                                                                                                                                        | 7,300,000            |             |                                                                                                                                         | Medtronic, Inc., 4.625%, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 7,527,008                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 18,241,658                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Supplies - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | Fresenius US Finance II, Inc., 4.5%, 1/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,596,000                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,600,000            |             |                                                                                                                                         | Catholic Health Initiatives, 4.35%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,416,926                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Facilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,400,000            |             |                                                                                                                                         | NYU Hospitals Center, 4.428%, 7/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,356,980                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 24,611,564                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Pharmaceuticals, Biotechnology & Life Sciences - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Biotechnology - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 11,025,000           |             |                                                                                                                                         | Baxalta, Inc., 3.6%, 6/23/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 11,131,072                                                                                                                                                    |
|                                                                                                                                                                        | 3,550,000            |             |                                                                                                                                         | Biogen, Inc., 3.625%, 9/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,577,974                                                                                                                                                     |
|                                                                                                                                                                        | 4,275,000            |             |                                                                                                                                         | Biogen, Inc., 4.05%, 9/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,318,532                                                                                                                                                     |
|                                                                                                                                                                        | 7,550,000            |             |                                                                                                                                         | Gilead Sciences, Inc., 4.5%, 2/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 7,255,890                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 26,283,468                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Pharmaceuticals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 520,000              |             |                                                                                                                                         | Endo, Ltd., 6.0%, 2/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 505,050                                                                                                                                                       |
|                                                                                                                                                                        | 3,150,000            |             |                                                                                                                                         | Johnson & Johnson, 4.375%, 12/5/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 3,440,543                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,945,593                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Life Sciences Tools & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 894,000              |             |                                                                                                                                         | Agilent Technologies, Inc., 6.5%, 11/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 969,181                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 31,198,242                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Banks - 6.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Banks - 5.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,215,000            |             |                                                                                                                                         | Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 5,211,501                                                                                                                                                     |
|                                                                                                                                                                        | 1,150,000            |             |                                                                                                                                         | Bank of America Corp., 4.2%, 8/26/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,149,177                                                                                                                                                     |
|                                                                                                                                                                        | 3,950,000            | 6.10             |                                                                                                                                         | Bank of America Corp., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,851,250                                                                                                                                                     |
|                                                                                                                                                                        | 6,975,000            | 6.50             |                                                                                                                                         | Bank of America Corp., Floating Rate Note, 10/23/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 7,114,500                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            | 6.25             |                                                                                                                                         | Bank of America Corp., Floating Rate Note, 9/29/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,150,500                                                                                                                                                     |
|                                                                                                                                                                        | 3,515,000            |             |                                                                                                                                         | Barclays Bank Plc, 6.05%, 12/4/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,801,286                                                                                                                                                     |
|                                                                                                                                                                        | 5,250,000            |             |                                                                                                                                         | Barclays Plc, 3.65%, 3/16/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 5,012,416                                                                                                                                                     |
|                                                                                                                                                                        | 2,400,000            |             |                                                                                                                                         | BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,412,000                                                                                                                                                     |
|                                                                                                                                                                        | 3,815,000            |             |                                                                                                                                         | BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,071,559                                                                                                                                                     |
|                                                                                                                                                                        | 7,800,000            |             |                                                                                                                                         | BNP Paribas SA, 4.375%, 9/28/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 7,610,834                                                                                                                                                     |
|                                                                                                                                                                        | 2,925,000            | 5.88             |                                                                                                                                         | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,873,812                                                                                                                                                     |
|                                                                                                                                                                        | 2,850,000            | 5.90             |                                                                                                                                         | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,778,750                                                                                                                                                     |
|                                                                                                                                                                        | 2,295,000            | 5.95             |                                                                                                                                         | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,227,584                                                                                                                                                     |
|                                                                                                                                                                        | 3,435,000            |             |                                                                                                                                         | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.875%, 2/8/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,617,732                                                                                                                                                     |
|                                                                                                                                                                        | 6,425,000            |             |                                                                                                                                         | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 3.95%, 11/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 6,452,737                                                                                                                                                     |
|                                                                                                                                                                        | 11,575,000           | 6.62             |                                                                                                                                         | Credit Agricole SA, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 11,126,469                                                                                                                                                    |
|                                                                                                                                                                        | 11,200,000           |             |                                                                                                                                         | Credit Suisse Group Funding Guernsey, Ltd., 3.8%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 11,187,221                                                                                                                                                    |
|                                                                                                                                                                        | 7,475,000            |             |                                                                                                                                         | Export-Import Bank of Korea, 2.25%, 1/21/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 7,458,413                                                                                                                                                     |
|                                                                                                                                                                        | 5,425,000            |             |                                                                                                                                         | First Tennessee Bank NA, 2.95%, 12/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 5,483,389                                                                                                                                                     |
|                                                                                                                                                                        | 1,305,000            |             |                                                                                                                                         | HSBC Bank Plc, 7.65%, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,638,096                                                                                                                                                     |
|                                                                                                                                                                        | 3,940,000            |             |                                                                                                                                         | HSBC Holdings Plc, 4.25%, 3/14/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,908,441                                                                                                                                                     |
|                                                                                                                                                                        | 7,211,000            | 6.50             |                                                                                                                                         | ING Groep NV, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 6,845,943                                                                                                                                                     |
|                                                                                                                                                                        | 1,400,000            |             |                                                                                                                                         | Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,616,959                                                                                                                                                     |
|                                                                                                                                                                        | 4,875,000            | 7.70             |                                                                                                                                         | Intesa Sanpaolo S.p.A., Floating Rate Note, 12/29/49 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 4,753,125                                                                                                                                                     |
|                                                                                                                                                                        | 5,125,000            |             |                                                                                                                                         | Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 5,116,231                                                                                                                                                     |
|                                                                                                                                                                        | 840,000              |             |                                                                                                                                         | Macquarie Bank, Ltd., 6.625%, 4/7/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 941,545                                                                                                                                                       |
|                                                                                                                                                                        | 4,500,000            |             |                                                                                                                                         | Nordea Bank AB, 4.25%, 9/21/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,606,425                                                                                                                                                     |
|                                                                                                                                                                        | 5,600,000            | 6.12             |                                                                                                                                         | Nordea Bank AB, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 5,516,000                                                                                                                                                     |
|                                                                                                                                                                        | 6,325,000            | 7.50             |                                                                                                                                         | Royal Bank of Scotland Group Plc, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 6,311,148                                                                                                                                                     |
|                                                                                                                                                                        | 631,579              | 3.09             |                                                                                                                                         | SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 631,436                                                                                                                                                       |
|                                                                                                                                                                        | 2,600,000            | 4.50             |                                                                                                                                         | Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,512,900                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            |             |                                                                                                                                         | Standard Chartered Bank, 6.4%, 9/26/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,367,420                                                                                                                                                     |
|                                                                                                                                                                        | 4,800,000            |             |                                                                                                                                         | Standard Chartered Plc, 3.95%, 1/11/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 4,473,029                                                                                                                                                     |
|                                                                                                                                                                        | 1,800,000            |             |                                                                                                                                         | Sumitomo Mitsui Banking Corp., 1.75%, 1/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,799,230                                                                                                                                                     |
|                                                                                                                                                                        | 11,675,000           |             |                                                                                                                                         | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.3%, 3/5/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 11,609,445                                                                                                                                                    |
|                                                                                                                                                                        | 3,400,000            | 5.88             |                                                                                                                                         | Wells Fargo & Company, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,480,750                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 163,719,253                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Regional Banks - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,190,000            |             |                                                                                                                                         | CoBank ACB, 7.875%, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,360,364                                                                                                                                                     |
|                                                                                                                                                                        | 7,000,000            |             |                                                                                                                                         | Credit Suisse New York NY, 1.75%, 1/29/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 7,000,637                                                                                                                                                     |
|                                                                                                                                                                        | 3,350,000            |             |                                                                                                                                         | HSBC Bank USA NA New York NY, 6.0%, 8/9/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,600,717                                                                                                                                                     |
|                                                                                                                                                                        | 7,378,000            |             |                                                                                                                                         | KeyCorp, 5.1%, 3/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 8,163,573                                                                                                                                                     |
|                                                                                                                                                                        | 1,435,000            |             |                                                                                                                                         | PNC Bank NA, 6.0%, 12/7/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,565,050                                                                                                                                                     |
|                                                                                                                                                                        | 1,025,000            |             |                                                                                                                                         | SunTrust Banks, Inc., 3.5%, 1/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,050,163                                                                                                                                                     |
|                                                                                                                                                                        | 890,000              | 6.75             |                                                                                                                                         | The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 965,650                                                                                                                                                       |
|                                                                                                                                                                        | 3,540,000            |             |                                                                                                                                         | Wells Fargo Bank NA, 6.0%, 11/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,858,901                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 27,565,055                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Thrifts & Mortgage Finance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,300,000            |             |                                                                                                                                         | Astoria Financial Corp., 5.0%, 6/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 2,409,105                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 193,693,413                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Financials - 4.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Other Diversified Financial Services - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | Alterra Finance LLC, 6.25%, 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 3,451,320                                                                                                                                                     |
|                                                                                                                                                                        | 5,930,000            |             |                                                                                                                                         | Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 6,248,067                                                                                                                                                     |
|                                                                                                                                                                        | 4,860,000            |             |                                                                                                                                         | General Electric Capital Corp., 5.3%, 2/11/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 5,590,502                                                                                                                                                     |
|                                                                                                                                                                        | 1,384,187            |             |                                                                                                                                         | Grain Spectrum Funding II LLC, 3.29%, 10/10/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,381,418                                                                                                                                                     |
|                                                                                                                                                                        | 9,100,000            | 6.75             |                                                                                                                                         | JPMorgan Chase & Co., Floating Rate Note, 8/29/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 9,475,375                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            | 0.00             |                                                                                                                                         | Tiers Trust, Floating Rate Note, 10/15/97 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,159,627                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 27,306,309                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialized Finance - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,725,000            |             |                                                                                                                                         | Aviation Capital Group Corp., 6.75%, 4/6/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 4,181,312                                                                                                                                                     |
|                                                                                                                                                                        | 3,200,000            |             |                                                                                                                                         | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,160,000                                                                                                                                                     |
|                                                                                                                                                                        | 2,980,000            |             |                                                                                                                                         | Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,274,218                                                                                                                                                     |
|                                                                                                                                                                        | 1,475,000            |             |                                                                                                                                         | LeasePlan Corp. NV, 2.5%, 5/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,478,596                                                                                                                                                     |
|                                                                                                                                                                        | 2,000,000            |             |                                                                                                                                         | National Rural Utilities Cooperative Finance Corp., 5.45%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,176,204                                                                                                                                                     |
|                                                                                                                                                                        | 5,480,000            |             |                                                                                                                                         | Nationstar Mortgage LLC, 6.5%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,370,300                                                                                                                                                     |
|                                                                                                                                                                        | 11,625,000           |             |                                                                                                                                         | USAA Capital Corp., 2.45%, 8/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 11,817,882                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 30,458,512                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Finance - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Ally Financial, Inc., 3.6%, 5/21/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,483,125                                                                                                                                                     |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | Ally Financial, Inc., 4.625%, 3/30/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 756,000                                                                                                                                                       |
|                                                                                                                                                                        | 5,050,000            |             |                                                                                                                                         | Ally Financial, Inc., 5.125%, 9/30/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,986,875                                                                                                                                                     |
|                                                                                                                                                                        | 7,695,000            |             |                                                                                                                                         | American Honda Finance Corp., 1.2%, 7/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 7,689,806                                                                                                                                                     |
|                                                                                                                                                                        | 1,465,000            |             |                                                                                                                                         | Capital One Bank USA NA, 8.8%, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,771,099                                                                                                                                                     |
|                                                                                                                                                                        | 6,650,000            |             |                                                                                                                                         | Capital One Financial Corp., 3.75%, 4/24/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 6,604,115                                                                                                                                                     |
|                                                                                                                                                                        | 6,525,000            |             |                                                                                                                                         | General Motors Financial Co, Inc., 4.0%, 1/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 6,179,168                                                                                                                                                     |
|                                                                                                                                                                        | 2,245,000            |             |                                                                                                                                         | Hyundai Capital America, 1.45%, 2/6/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,243,765                                                                                                                                                     |
|                                                                                                                                                                        | 3,125,000            |             |                                                                                                                                         | Hyundai Capital America, 2.0%, 3/19/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,111,609                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 34,825,562                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Asset Management & Custody Banks - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,525,000            |             |                                                                                                                                         | Affiliated Managers Group, Inc., 4.25%, 2/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 2,567,700                                                                                                                                                     |
|                                                                                                                                                                        | 1,725,000            |             |                                                                                                                                         | Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,759,353                                                                                                                                                     |
|                                                                                                                                                                        | 6,925,000            |             |                                                                                                                                         | Blackstone Holdings Finance Co. LLC, 6.25%, 8/15/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 8,428,805                                                                                                                                                     |
|                                                                                                                                                                        | 733,000              |             |                                                                                                                                         | Eaton Vance Corp., 6.5%, 10/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 801,116                                                                                                                                                       |
|                                                                                                                                                                        | 5,025,000            |             |                                                                                                                                         | KKR Group Finance Co. II LLC, 5.5%, 2/1/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 5,255,301                                                                                                                                                     |
|                                                                                                                                                                        | 2,400,000            |             |                                                                                                                                         | Legg Mason, Inc., 3.95%, 7/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,406,967                                                                                                                                                     |
|                                                                                                                                                                        | 4,290,000            |             |                                                                                                                                         | Legg Mason, Inc., 5.625%, 1/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 4,440,086                                                                                                                                                     |
|                                                                                                                                                                        | 4,250,000            |             |                                                                                                                                         | Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,893,527                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            | 4.50             |                                                                                                                                         | The Bank of New York Mellon Corp., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,153,125                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 30,705,980                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Investment Banking & Brokerage - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,650,000            |             |                                                                                                                                         | KKR Group Finance Co III LLC, 5.125%, 6/1/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,608,610                                                                                                                                                     |
|                                                                                                                                                                        | 2,730,000            |             |                                                                                                                                         | Macquarie Group, Ltd., 6.0%, 1/14/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 3,063,169                                                                                                                                                     |
|                                                                                                                                                                        | 5,100,000            |             |                                                                                                                                         | Morgan Stanley, 4.1%, 5/22/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 5,161,776                                                                                                                                                     |
|                                                                                                                                                                        | 300,000              |             |                                                                                                                                         | Morgan Stanley, 4.875%, 11/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 319,628                                                                                                                                                       |
|                                                                                                                                                                        | 2,900,000            | 5.55             |                                                                                                                                         | Morgan Stanley, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,856,500                                                                                                                                                     |
|                                                                                                                                                                        | 643,000              |             |                                                                                                                                         | North American Development Bank, 2.3%, 10/10/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 657,510                                                                                                                                                       |
|                                                                                                                                                                        | 6,025,000            |             |                                                                                                                                         | TD Ameritrade Holding Corp., 3.625%, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 6,167,931                                                                                                                                                     |
|                                                                                                                                                                        | 6,875,000            |             |                                                                                                                                         | The Goldman Sachs Group, Inc., 6.75%, 10/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 8,201,311                                                                                                                                                     |
|                                                                                                                                                                        | 4,400,000            |             |                                                                                                                                         | UBS AG, 7.625%, 8/17/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 5,062,143                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 33,098,578                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 156,394,941                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Insurance - 5.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Insurance Brokers - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,000,000            |             |                                                                                                                                         | Brown & Brown, Inc., 4.2%, 9/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 5,041,425                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Life & Health Insurance - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 7,000,000            |             |                                                                                                                                         | Aflac, Inc., 3.625%, 11/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 7,134,379                                                                                                                                                     |
|                                                                                                                                                                        | 4,250,000            |             |                                                                                                                                         | Protective Life Corp., 7.375%, 10/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 5,012,612                                                                                                                                                     |
|                                                                                                                                                                        | 1,090,000            |             |                                                                                                                                         | Prudential Financial, Inc., 4.5%, 11/16/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,202,781                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            | 5.62             |                                                                                                                                         | Prudential Financial, Inc., Floating Rate Note, 6/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,548,000                                                                                                                                                     |
|                                                                                                                                                                        | 2,140,000            | 8.88             |                                                                                                                                         | Prudential Financial, Inc., Floating Rate Note, 6/15/68                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 2,456,185                                                                                                                                                     |
|                                                                                                                                                                        | 1,800,000            | 5.88             |                                                                                                                                         | Prudential Financial, Inc., Floating Rate Note, 9/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,903,500                                                                                                                                                     |
|                                                                                                                                                                        | 6,405,000            |             |                                                                                                                                         | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 8,019,899                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 27,277,356                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Multi-line Insurance - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,985,000            |             |                                                                                                                                         | AIG, 3.875%, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 5,505,452                                                                                                                                                     |
|                                                                                                                                                                        | 3,900,000            |             |                                                                                                                                         | Assurant, Inc., 4.0%, 3/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 3,986,966                                                                                                                                                     |
|                                                                                                                                                                        | 2,335,000            |             |                                                                                                                                         | AXA SA, 8.6%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 3,168,315                                                                                                                                                     |
|                                                                                                                                                                        | 5,325,000            |             |                                                                                                                                         | Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 6,737,227                                                                                                                                                     |
|                                                                                                                                                                        | 2,650,000            |             |                                                                                                                                         | Loews Corp., 5.25%, 3/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 2,702,780                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 22,100,740                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Property & Casualty Insurance - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,850,000            |             |                                                                                                                                         | Delphi Financial Group, Inc., 7.875%, 1/31/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 2,197,872                                                                                                                                                     |
|                                                                                                                                                                        | 945,000              |             |                                                                                                                                         | OneBeacon US Holdings, Inc., 4.6%, 11/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 961,601                                                                                                                                                       |
|                                                                                                                                                                        | 1,300,000            |             |                                                                                                                                         | The Allstate Corp., 5.95%, 4/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,605,226                                                                                                                                                     |
|                                                                                                                                                                        | 5,455,000            | 6.50             |                                                                                                                                         | The Allstate Corp., Floating Rate Note, 5/15/57                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 6,095,962                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 10,860,661                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Reinsurance - 3.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,500,000            | 3.66             |                                                                                                                                         | Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,510,200                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 5.95             |                                                                                                                                         | Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,033,600                                                                                                                                                     |
|                                                                                                                                                                        | 937,930              |             |                                                                                                                                         | Altair Re, Variable Rate Notes, 6/30/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 65,843                                                                                                                                                        |
|                                                                                                                                                                        | 1,400,000            |             |                                                                                                                                         | Altair Re, Variable Rate Notes, 6/30/17 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,460,200                                                                                                                                                     |
|                                                                                                                                                                        | 744,000              | 6.38             |                                                                                                                                         | Aquarius + Investments Plc for Swiss Reinsurance Co., Ltd., Floating Rate Note, 9/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 762,694                                                                                                                                                       |
|                                                                                                                                                                        | 900,000              |             |                                                                                                                                         | Arlington Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 8/31/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 924,480                                                                                                                                                       |
|                                                                                                                                                                        | 500,000              | 3.47             |                                                                                                                                         | Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 508,850                                                                                                                                                       |
|                                                                                                                                                                        | 250,000              | 8.15             |                                                                                                                                         | Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 253,150                                                                                                                                                       |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | Berwick Segregated Account (KANE SAC Ltd.), Variable Rate Note, 1/22/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 828,320                                                                                                                                                       |
|                                                                                                                                                                        | 3,050,000            | 4.37             |                                                                                                                                         | Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,075,925                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            | 5.30             |                                                                                                                                         | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,263,000                                                                                                                                                     |
|                                                                                                                                                                        | 1,850,000            | 6.86             |                                                                                                                                         | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,911,050                                                                                                                                                     |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | Carnoustie Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 2/19/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,272,100                                                                                                                                                     |
|                                                                                                                                                                        | 250,000              | 4.48             |                                                                                                                                         | Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 251,800                                                                                                                                                       |
|                                                                                                                                                                        | 550,000              | 4.30             |                                                                                                                                         | Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 554,400                                                                                                                                                       |
|                                                                                                                                                                        | 1,200,000            |             |                                                                                                                                         | Clarendon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/15/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,180,440                                                                                                                                                     |
|                                                                                                                                                                        | 1,100,000            | 0.00             |                                                                                                                                         | Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,087,020                                                                                                                                                     |
|                                                                                                                                                                        | 250,000              | 9.06             |                                                                                                                                         | East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 257,950                                                                                                                                                       |
|                                                                                                                                                                        | 700,000              | 3.78             |                                                                                                                                         | East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 705,250                                                                                                                                                       |
|                                                                                                                                                                        | 2,500,000            |             |                                                                                                                                         | Eden Re II, Ltd., Variable Rate Notes, 4/19/18 (144A) (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,643,750                                                                                                                                                     |
|                                                                                                                                                                        | 3,654,000            |             |                                                                                                                                         | Exeter Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,907,588                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Fairfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/2/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 978,200                                                                                                                                                       |
|                                                                                                                                                                        | 1,200,000            | 7.41             |                                                                                                                                         | Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,223,640                                                                                                                                                     |
|                                                                                                                                                                        | 2,800,000            | 2.21             |                                                                                                                                         | Golden State Re II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,784,040                                                                                                                                                     |
|                                                                                                                                                                        | 3,700,000            |             |                                                                                                                                         | Gullane Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/22/17 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,057,790                                                                                                                                                     |
|                                                                                                                                                                        | 1,009,200            |             |                                                                                                                                         | Hereford Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,159,167                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 4.57             |                                                                                                                                         | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,023,200                                                                                                                                                     |
|                                                                                                                                                                        | 1,150,000            | 4.07             |                                                                                                                                         | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,173,690                                                                                                                                                     |
|                                                                                                                                                                        | 1,700,000            | 3.76             |                                                                                                                                         | Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,684,190                                                                                                                                                     |
|                                                                                                                                                                        | 350,000              | 4.52             |                                                                                                                                         | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 347,585                                                                                                                                                       |
|                                                                                                                                                                        | 3,700,000            | 4.77             |                                                                                                                                         | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,721,830                                                                                                                                                     |
|                                                                                                                                                                        | 3,200,000            |             |                                                                                                                                         | Kingsbarn 2015 Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 12/18/15 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,087,680                                                                                                                                                     |
|                                                                                                                                                                        | 500,000              |             |                                                                                                                                         | Lahinch Re, Variable Rate Notes, 6/15/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 498,000                                                                                                                                                       |
|                                                                                                                                                                        | 250,000              | 8.27             |                                                                                                                                         | Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 260,225                                                                                                                                                       |
|                                                                                                                                                                        | 1,800,000            | 4.27             |                                                                                                                                         | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,826,100                                                                                                                                                     |
|                                                                                                                                                                        | 1,300,000            |             |                                                                                                                                         | Lorenz Re, Ltd., Variable Rate Notes, 3/31/18 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,375,530                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 2.01             |                                                                                                                                         | Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 998,100                                                                                                                                                       |
|                                                                                                                                                                        | 1,956,533            |             |                                                                                                                                         | Muirfield Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,147,882                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 8.65             |                                                                                                                                         | Mythen Re, Ltd., Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,034,900                                                                                                                                                     |
|                                                                                                                                                                        | 1,100,000            | 7.27             |                                                                                                                                         | Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,126,290                                                                                                                                                     |
|                                                                                                                                                                        | 3,600,000            |             |                                                                                                                                         | Pangaea Re, Series 2015-1, Principal at Risk Notes, 2/1/19 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,065,480                                                                                                                                                     |
|                                                                                                                                                                        | 4,000,000            |             |                                                                                                                                         | Pangaea Re, Series 2015-2, Principal at Risk Notes, 11/30/19 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 4,131,600                                                                                                                                                     |
|                                                                                                                                                                        | 2,000,000            |             |                                                                                                                                         | Pangaea Re., Variable Rate Notes, 7/1/18 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 36,000                                                                                                                                                        |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Prestwick Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 7/1/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,048,000                                                                                                                                                     |
|                                                                                                                                                                        | 1,650,000            | 8.60             |                                                                                                                                         | Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,668,150                                                                                                                                                     |
|                                                                                                                                                                        | 1,000,000            | 8.93             |                                                                                                                                         | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,006,800                                                                                                                                                     |
|                                                                                                                                                                        | 2,800,000            | 4.54             |                                                                                                                                         | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,848,160                                                                                                                                                     |
|                                                                                                                                                                        | 1,650,000            | 5.78             |                                                                                                                                         | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,694,220                                                                                                                                                     |
|                                                                                                                                                                        | 275,000              | 10.03            |                                                                                                                                         | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 290,455                                                                                                                                                       |
|                                                                                                                                                                        | 800,000              | 8.04             |                                                                                                                                         | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 835,440                                                                                                                                                       |
|                                                                                                                                                                        | 250,000              | 9.28             |                                                                                                                                         | Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 264,575                                                                                                                                                       |
|                                                                                                                                                                        | 800,000              | 3.02             |                                                                                                                                         | Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 794,160                                                                                                                                                       |
|                                                                                                                                                                        | 1,200,000            | 3.51             |                                                                                                                                         | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,204,200                                                                                                                                                     |
|                                                                                                                                                                        | 1,250,000            | 4.02             |                                                                                                                                         | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,259,500                                                                                                                                                     |
|                                                                                                                                                                        | 2,000,000            | 3.87             |                                                                                                                                         | Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,023,600                                                                                                                                                     |
|                                                                                                                                                                        | 400,000              |             |                                                                                                                                         | Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 429,600                                                                                                                                                       |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,144,900                                                                                                                                                     |
|                                                                                                                                                                        | 250,000              |             |                                                                                                                                         | Silverton Re, Ltd., Variable Rate Notes, 9/16/16 (144A) (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 5,000                                                                                                                                                         |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Silverton Re, Ltd., Variable Rate Notes, 9/18/17 (144A) (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,130,000                                                                                                                                                     |
|                                                                                                                                                                        | 1,300,000            |             |                                                                                                                                         | St. Andrews Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/22/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,355,640                                                                                                                                                     |
|                                                                                                                                                                        | 250,000              | 11.32            |                                                                                                                                         | Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 250,450                                                                                                                                                       |
|                                                                                                                                                                        | 300,000              | 8.49             |                                                                                                                                         | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 311,400                                                                                                                                                       |
|                                                                                                                                                                        | 2,018,867            |             |                                                                                                                                         | Troon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,161,197                                                                                                                                                     |
|                                                                                                                                                                        | 1,012,000            |             |                                                                                                                                         | Turnberry Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/15/16 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,026,067                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            | 0.00             |                                                                                                                                         | Ursa Re, Ltd., Floating Rate Note, 9/21/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,499,400                                                                                                                                                     |
|                                                                                                                                                                        | 2,500,000            |             |                                                                                                                                         | Versutus Ltd., Series 2015-A, Variable Rate Notes, 12/31/2017 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,825,000                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            | 2.86             |                                                                                                                                         | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,514,700                                                                                                                                                     |
|                                                                                                                                                                        | 3,700,000            | 3.56             |                                                                                                                                         | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,740,330                                                                                                                                                     |
|                                                                                                                                                                        | 500,000              | 2.77             |                                                                                                                                         | Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 505,000                                                                                                                                                       |
|                                                                                                                                                                        | 1,750,000            | 1.77             |                                                                                                                                         | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,737,575                                                                                                                                                     |
|                                                                                                                                                                        | 1,400,000            | 5.88             |                                                                                                                                         | Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,482,779                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 104,255,027                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 169,535,209                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Real Estate - 1.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified REIT - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,225,000            |             |                                                                                                                                         | Brixmor Operating Partnership LP, 3.85%, 2/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 4,102,728                                                                                                                                                     |
|                                                                                                                                                                        | 1,175,000            |             |                                                                                                                                         | Brixmor Operating Partnership LP, 3.875%, 8/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,185,616                                                                                                                                                     |
|                                                                                                                                                                        | 1,475,000            |             |                                                                                                                                         | DCT Industrial Operating Partnership LP, 4.5%, 10/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,524,768                                                                                                                                                     |
|                                                                                                                                                                        | 2,175,000            |             |                                                                                                                                         | Duke Realty LP, 3.625%, 4/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,145,840                                                                                                                                                     |
|                                                                                                                                                                        | 5,300,000            |             |                                                                                                                                         | Duke Realty LP, 3.75%, 12/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,215,560                                                                                                                                                     |
|                                                                                                                                                                        | 9,125,000            |             |                                                                                                                                         | Essex Portfolio LP, 3.5%, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 8,861,680                                                                                                                                                     |
|                                                                                                                                                                        | 741,000              |             |                                                                                                                                         | WP Carey, Inc., 4.6%, 4/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 755,652                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 23,791,844                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Office REIT - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 75,000               |             |                                                                                                                                         | Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 74,873                                                                                                                                                        |
|                                                                                                                                                                        | 1,093,000            |             |                                                                                                                                         | Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,088,874                                                                                                                                                     |
|                                                                                                                                                                        | 2,670,000            |             |                                                                                                                                         | Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,805,850                                                                                                                                                     |
|                                                                                                                                                                        | 2,032,000            |             |                                                                                                                                         | Highwoods Realty LP, 3.2%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,007,781                                                                                                                                                     |
|                                                                                                                                                                        | 2,100,000            |             |                                                                                                                                         | Highwoods Realty LP, 3.625%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,108,190                                                                                                                                                     |
|                                                                                                                                                                        | 2,550,000            |             |                                                                                                                                         | Piedmont Operating Partnership LP, 3.4%, 6/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,416,191                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 10,501,759                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care REIT - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,750,000            |             |                                                                                                                                         | Healthcare Realty Trust, Inc., 3.875%, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 3,643,519                                                                                                                                                     |
|                                                                                                                                                                        | 3,945,000            |             |                                                                                                                                         | Omega Healthcare Investors, Inc., 4.95%, 4/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,987,902                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,631,421                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialized REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 730,000              |             |                                                                                                                                         | CubeSmart LP, 4.8%, 7/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 793,572                                                                                                                                                       |
|                                                                                                                                                                        | 1,250,000            |             |                                                                                                                                         | DuPont Fabros Technology LP, 5.875%, 9/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,281,250                                                                                                                                                     |
|                                                                                                                                                                        | 1,875,000            |             |                                                                                                                                         | Equinix, Inc., 5.75%, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,860,938                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,935,760                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 45,860,784                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Software & Services - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Data Processing & Outsourced Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,750,000            |             |                                                                                                                                         | Automatic Data Processing, Inc., 2.25%, 9/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 3,772,988                                                                                                                                                     |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | Cardtronics, Inc., 5.125%, 8/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,880,000                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 6,652,988                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Application Software - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 8,100,000            |             |                                                                                                                                         | Adobe Systems, Inc., 3.25%, 2/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 7,946,594                                                                                                                                                     |
|                                                                                                                                                                        | 10,450,000           |             |                                                                                                                                         | Autodesk, Inc., 3.125%, 6/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 10,595,861                                                                                                                                                    |
|                                                                                                                                                                        | 2,875,000            |             |                                                                                                                                         | Igloo Holdings Corp., 8.25%, 12/15/17 (8.25% Cash, 9.00% PIK) (144A) (PIK)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,882,188                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 21,424,643                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Systems Software - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 10,600,000           |             |                                                                                                                                         | Oracle Corp., 2.5%, 5/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 10,445,844                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Home Entertainment Software - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 650,000              |             |                                                                                                                                         | Activision Blizzard, Inc., 6.125%, 9/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 690,625                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 39,214,100                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Technology Hardware & Equipment - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Communications Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,860,000            |             |                                                                                                                                         | Brocade Communications Systems, Inc., 4.625%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 2,745,600                                                                                                                                                     |
|                                                                                                                                                                        | 3,800,000            |             |                                                                                                                                         | Cisco Systems, Inc., 3.0%, 6/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,872,519                                                                                                                                                     |
|                                                                                                                                                                        | 3,485,000            |             |                                                                                                                                         | Cisco Systems, Inc., 3.625%, 3/4/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 3,653,420                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 10,271,539                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Technology Hardware, Storage & Peripherals - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,600,000            |             |                                                                                                                                         | NCR Corp., 4.625%, 2/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 4,404,500                                                                                                                                                     |
|                                                                                                                                                                        | 1,425,000            |             |                                                                                                                                         | NCR Corp., 6.375%, 12/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,396,500                                                                                                                                                     |
|                                                                                                                                                                        | 3,450,000            |             |                                                                                                                                         | Seagate HDD Cayman, 4.75%, 6/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 3,404,960                                                                                                                                                     |
|                                                                                                                                                                        | 3,700,000            |             |                                                                                                                                         | Seagate HDD Cayman, 4.875%, 6/1/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,441,592                                                                                                                                                     |
|                                                                                                                                                                        | 4,350,000            |             |                                                                                                                                         | Seagate HDD Cayman, 5.75%, 12/1/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,183,856                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 16,831,408                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Electronic Components - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,675,000            |             |                                                                                                                                         | Amphenol Corp., 3.125%, 9/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 3,714,348                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Electronic Manufacturing Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,750,000            |             |                                                                                                                                         | Flextronics International, Ltd., 4.75%, 6/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 2,663,980                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 33,481,275                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductors & Semiconductor Equipment - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,500,000            |             |                                                                                                                                         | Entegris, Inc., 6.0%, 4/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 2,537,500                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductors - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 11,075,000           |             |                                                                                                                                         | Intel Corp., 4.8%, 10/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 11,454,308                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 13,991,808                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Telecommunication Services - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Integrated Telecommunication Services - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,250,000            |             |                                                                                                                                         | AT&T, Inc., 4.75%, 5/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,061,668                                                                                                                                                     |
|                                                                                                                                                                        | 130,000              |             |                                                                                                                                         | Frontier Communications Corp., 10.5%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 126,750                                                                                                                                                       |
|                                                                                                                                                                        | 4,300,000            |             |                                                                                                                                         | Frontier Communications Corp., 7.125%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,534,170                                                                                                                                                     |
|                                                                                                                                                                        | 130,000              |             |                                                                                                                                         | Frontier Communications Corp., 8.875%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 127,400                                                                                                                                                       |
|                                                                                                                                                                        | 4,800,000            |             |                                                                                                                                         | GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 4,786,272                                                                                                                                                     |
|                                                                                                                                                                        | 768,374              |             |                                                                                                                                         | GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 774,830                                                                                                                                                       |
|                                                                                                                                                                        | 2,750,000            |             |                                                                                                                                         | Telefonica Emisiones SAU, 6.221%, 7/3/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,968,633                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Unison Ground Lease Funding LLC, 2.981%, 3/16/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,508,128                                                                                                                                                     |
|                                                                                                                                                                        | 1,938,000            |             |                                                                                                                                         | Verizon Communications, Inc., 5.012%, 8/21/54                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,763,859                                                                                                                                                     |
|                                                                                                                                                                        | 5,100,000            |             |                                                                                                                                         | Verizon Communications, Inc., 5.15%, 9/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 5,633,919                                                                                                                                                     |
|                                                                                                                                                                        | 1,934,000            |             |                                                                                                                                         | Verizon Communications, Inc., 6.55%, 9/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 2,284,913                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 25,570,542                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Wireless Telecommunication Services - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,675,000            |             |                                                                                                                                         | Altice Financing SA, 7.875%, 12/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,733,625                                                                                                                                                     |
|                                                                                                                                                                        | 3,015,000            |             |                                                                                                                                         | Crown Castle Towers LLC, 4.883%, 8/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,256,725                                                                                                                                                     |
|                                                                                                                                                                        | 1,625,000            |             |                                                                                                                                         | Crown Castle Towers LLC, 6.113%, 1/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,831,258                                                                                                                                                     |
|                                                                                                                                                                        | 6,975,000            |             |                                                                                                                                         | SBA Tower Trust, 3.869%, 10/15/49 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 7,096,707                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Sprint Corp., 7.125%, 6/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,154,400                                                                                                                                                     |
|                                                                                                                                                                        | 1,500,000            |             |                                                                                                                                         | Sprint Corp., 7.25%, 9/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,228,125                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 16,300,840                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 41,871,382                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Utilities - 2.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Electric Utilities - 1.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 980,000              |             |                                                                                                                                         | Commonwealth Edison Co., 6.15%, 9/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 1,067,972                                                                                                                                                     |
|                                                                                                                                                                        | 526,720              |             |                                                                                                                                         | Crockett Cogeneration LP, 5.869%, 3/30/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 555,007                                                                                                                                                       |
|                                                                                                                                                                        | 8,700,000            |             |                                                                                                                                         | Duke Energy Progress LLC, 4.15%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 8,753,096                                                                                                                                                     |
|                                                                                                                                                                        | 4,250,000            |             |                                                                                                                                         | Electricite de France SA, 6.0%, 1/22/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,481,498                                                                                                                                                     |
|                                                                                                                                                                        | 2,150,000            | 5.25             |                                                                                                                                         | Electricite de France SA, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,069,375                                                                                                                                                     |
|                                                                                                                                                                        | 2,825,000            |             |                                                                                                                                         | Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 2,662,562                                                                                                                                                     |
|                                                                                                                                                                        | 3,365,000            |             |                                                                                                                                         | Enel Finance International NV, 5.125%, 10/7/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 3,699,542                                                                                                                                                     |
|                                                                                                                                                                        | 2,320,000            | 8.13             |                                                                                                                                         | Enel S.p.A., Floating Rate Note, 9/24/73 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,661,550                                                                                                                                                     |
|                                                                                                                                                                        | 4,250,000            |             |                                                                                                                                         | Exelon Corp., 2.85%, 6/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 4,287,222                                                                                                                                                     |
|                                                                                                                                                                        | 586,325              |             |                                                                                                                                         | FPL Energy American Wind LLC, 6.639%, 6/20/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 605,659                                                                                                                                                       |
|                                                                                                                                                                        | 69,922               |             |                                                                                                                                         | FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 68,523                                                                                                                                                        |
|                                                                                                                                                                        | 4,475,000            |             |                                                                                                                                         | Iberdrola International BV, 6.75%, 7/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 5,545,581                                                                                                                                                     |
|                                                                                                                                                                        | 1,925,000            |             |                                                                                                                                         | Israel Electric Corp., Ltd., 7.25%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,168,031                                                                                                                                                     |
|                                                                                                                                                                        | 610,000              |             |                                                                                                                                         | Israel Electric Corp., Ltd., 9.375%, 1/28/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 764,788                                                                                                                                                       |
|                                                                                                                                                                        | 910,000              |             |                                                                                                                                         | Nevada Power Co., 6.5%, 8/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,026,621                                                                                                                                                     |
|                                                                                                                                                                        | 542,991              |             |                                                                                                                                         | Orcal Geothermal, Inc., 6.21%, 12/30/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 559,281                                                                                                                                                       |
|                                                                                                                                                                        | 2,690,000            |             |                                                                                                                                         | Public Service Co. of New Mexico, 7.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 3,058,379                                                                                                                                                     |
|                                                                                                                                                                        | 5,757,143            |             |                                                                                                                                         | Southern California Edison Co., 1.845%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,741,558                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            | 6.25             |                                                                                                                                         | Southern California Edison Co., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,447,500                                                                                                                                                     |
|                                                                                                                                                                        | 10,800,000           |             |                                                                                                                                         | Southwestern Electric Power Co., 3.9%, 4/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 9,579,254                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 61,802,999                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Gas Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,125,000            |             |                                                                                                                                         | DCP Midstream Operating LP, 5.6%, 4/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,719,903                                                                                                                                                     |
|                                                                                                                                                                        | 2,178,222            |             |                                                                                                                                         | Nakilat, Inc., 6.267%, 12/31/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,484,970                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,204,873                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Multi-Utilities - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 5,475,000            |             |                                                                                                                                         | Consolidated Edison Co. of New York, Inc., 4.625%, 12/1/54                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 5,494,288                                                                                                                                                     |
|                                                                                                                                                                        | 5,055,000            |             |                                                                                                                                         | New York State Electric & Gas Corp., 6.15%, 12/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 5,533,405                                                                                                                                                     |
|                                                                                                                                                                        | 238,480              |             |                                                                                                                                         | Ormat Funding Corp., 8.25%, 12/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 238,480                                                                                                                                                       |
|                                                                                                                                                                        | 2,925,000            |             |                                                                                                                                         | San Diego Gas & Electric Co., 1.914%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,911,004                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 14,177,177                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Independent Power Producers & Energy Traders - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 547,318              |             |                                                                                                                                         | Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 606,655                                                                                                                                                       |
|                                                                                                                                                                        | 4,300,000            |             |                                                                                                                                         | Colbun SA, 4.5%, 7/10/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 4,266,615                                                                                                                                                     |
|                                                                                                                                                                        | 1,516,732            |             |                                                                                                                                         | Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,628,819                                                                                                                                                     |
|                                                                                                                                                                        | 2,000,000            |             |                                                                                                                                         | NRG Energy, Inc., 8.25%, 9/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,054,000                                                                                                                                                     |
|                                                                                                                                                                        | 2,161,541            |             |                                                                                                                                         | Panoche Energy Center LLC, 6.885%, 7/31/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 2,532,421                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 11,088,510                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 91,273,559                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $1,303,980,747)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,291,840,721                                                                                                                                                 |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 29.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,867,764            |             |                                                                                                                                         | Fannie Mae, 2.5%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,907,607                                                                                                                                                     |
|                                                                                                                                                                        | 1,864,365            |             |                                                                                                                                         | Fannie Mae, 2.5%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,903,555                                                                                                                                                     |
|                                                                                                                                                                        | 3,112,568            |             |                                                                                                                                         | Fannie Mae, 2.5%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,178,960                                                                                                                                                     |
|                                                                                                                                                                        | 3,900,000            |             |                                                                                                                                         | Fannie Mae, 3.0%, 10/19/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,061,179                                                                                                                                                     |
|                                                                                                                                                                        | 1,823,060            |             |                                                                                                                                         | Fannie Mae, 3.0%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,854,433                                                                                                                                                     |
|                                                                                                                                                                        | 3,032,452            |             |                                                                                                                                         | Fannie Mae, 3.0%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,161,886                                                                                                                                                     |
|                                                                                                                                                                        | 881,206              |             |                                                                                                                                         | Fannie Mae, 3.0%, 7/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 895,789                                                                                                                                                       |
|                                                                                                                                                                        | 20,932,270           |             |                                                                                                                                         | Fannie Mae, 3.0%, 8/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 21,300,960                                                                                                                                                    |
|                                                                                                                                                                        | 5,735,563            |             |                                                                                                                                         | Fannie Mae, 3.0%, 9/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,998,968                                                                                                                                                     |
|                                                                                                                                                                        | 6,425,605            |             |                                                                                                                                         | Fannie Mae, 3.0%, 9/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,537,579                                                                                                                                                     |
|                                                                                                                                                                        | 5,935,586            |             |                                                                                                                                         | Fannie Mae, 3.0%, 9/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,032,761                                                                                                                                                     |
|                                                                                                                                                                        | 303,403              |             |                                                                                                                                         | Fannie Mae, 3.5%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 318,618                                                                                                                                                       |
|                                                                                                                                                                        | 13,008,000           |             |                                                                                                                                         | Fannie Mae, 3.5%, 11/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 13,540,413                                                                                                                                                    |
|                                                                                                                                                                        | 1,829,465            |             |                                                                                                                                         | Fannie Mae, 3.5%, 12/1/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,936,097                                                                                                                                                     |
|                                                                                                                                                                        | 775,494              |             |                                                                                                                                         | Fannie Mae, 3.5%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 814,749                                                                                                                                                       |
|                                                                                                                                                                        | 751,621              |             |                                                                                                                                         | Fannie Mae, 3.5%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 789,341                                                                                                                                                       |
|                                                                                                                                                                        | 3,470,209            |             |                                                                                                                                         | Fannie Mae, 3.5%, 2/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,668,455                                                                                                                                                     |
|                                                                                                                                                                        | 14,876,460           |             |                                                                                                                                         | Fannie Mae, 3.5%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 15,543,245                                                                                                                                                    |
|                                                                                                                                                                        | 10,046,138           |             |                                                                                                                                         | Fannie Mae, 3.5%, 4/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,489,532                                                                                                                                                    |
|                                                                                                                                                                        | 4,065,419            |             |                                                                                                                                         | Fannie Mae, 3.5%, 6/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,301,600                                                                                                                                                     |
|                                                                                                                                                                        | 3,090,268            |             |                                                                                                                                         | Fannie Mae, 3.5%, 7/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,230,345                                                                                                                                                     |
|                                                                                                                                                                        | 4,688,505            |             |                                                                                                                                         | Fannie Mae, 3.5%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,895,436                                                                                                                                                     |
|                                                                                                                                                                        | 732,426              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 782,963                                                                                                                                                       |
|                                                                                                                                                                        | 654,537              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 700,442                                                                                                                                                       |
|                                                                                                                                                                        | 199,694              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 213,150                                                                                                                                                       |
|                                                                                                                                                                        | 428,168              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 457,019                                                                                                                                                       |
|                                                                                                                                                                        | 787,845              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 841,162                                                                                                                                                       |
|                                                                                                                                                                        | 175,901              |             |                                                                                                                                         | Fannie Mae, 4.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 187,754                                                                                                                                                       |
|                                                                                                                                                                        | 14,825,000           |             |                                                                                                                                         | Fannie Mae, 4.0%, 10/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 15,813,531                                                                                                                                                    |
|                                                                                                                                                                        | 159,750              |             |                                                                                                                                         | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 170,683                                                                                                                                                       |
|                                                                                                                                                                        | 10,260,042           |             |                                                                                                                                         | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 10,951,381                                                                                                                                                    |
|                                                                                                                                                                        | 3,545,953            |             |                                                                                                                                         | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,788,634                                                                                                                                                     |
|                                                                                                                                                                        | 199,438              |             |                                                                                                                                         | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 212,920                                                                                                                                                       |
|                                                                                                                                                                        | 477,260              |             |                                                                                                                                         | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 509,543                                                                                                                                                       |
|                                                                                                                                                                        | 1,100,003            |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,194,089                                                                                                                                                     |
|                                                                                                                                                                        | 1,979,394            |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,116,087                                                                                                                                                     |
|                                                                                                                                                                        | 42,238               |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 45,120                                                                                                                                                        |
|                                                                                                                                                                        | 6,374,053            |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 6,860,755                                                                                                                                                     |
|                                                                                                                                                                        | 823,965              |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 879,932                                                                                                                                                       |
|                                                                                                                                                                        | 430,598              |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 459,738                                                                                                                                                       |
|                                                                                                                                                                        | 81,195               |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 86,666                                                                                                                                                        |
|                                                                                                                                                                        | 90,426               |             |                                                                                                                                         | Fannie Mae, 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 96,568                                                                                                                                                        |
|                                                                                                                                                                        | 9,994,937            |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,697,115                                                                                                                                                    |
|                                                                                                                                                                        | 1,250,227            |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,337,473                                                                                                                                                     |
|                                                                                                                                                                        | 10,258,078           |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,949,285                                                                                                                                                    |
|                                                                                                                                                                        | 752,967              |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 803,703                                                                                                                                                       |
|                                                                                                                                                                        | 378,753              |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 404,275                                                                                                                                                       |
|                                                                                                                                                                        | 70,325               |             |                                                                                                                                         | Fannie Mae, 4.0%, 2/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 75,122                                                                                                                                                        |
|                                                                                                                                                                        | 1,704,305            |             |                                                                                                                                         | Fannie Mae, 4.0%, 3/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,829,763                                                                                                                                                     |
|                                                                                                                                                                        | 1,645,793            |             |                                                                                                                                         | Fannie Mae, 4.0%, 4/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,756,689                                                                                                                                                     |
|                                                                                                                                                                        | 1,114,709            |             |                                                                                                                                         | Fannie Mae, 4.0%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,200,074                                                                                                                                                     |
|                                                                                                                                                                        | 590,642              |             |                                                                                                                                         | Fannie Mae, 4.0%, 4/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 631,252                                                                                                                                                       |
|                                                                                                                                                                        | 842,807              |             |                                                                                                                                         | Fannie Mae, 4.0%, 4/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 901,758                                                                                                                                                       |
|                                                                                                                                                                        | 1,252,665            |             |                                                                                                                                         | Fannie Mae, 4.0%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,339,517                                                                                                                                                     |
|                                                                                                                                                                        | 2,717,449            |             |                                                                                                                                         | Fannie Mae, 4.0%, 5/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,900,555                                                                                                                                                     |
|                                                                                                                                                                        | 913,706              |             |                                                                                                                                         | Fannie Mae, 4.0%, 6/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 975,321                                                                                                                                                       |
|                                                                                                                                                                        | 237,329              |             |                                                                                                                                         | Fannie Mae, 4.0%, 6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 253,320                                                                                                                                                       |
|                                                                                                                                                                        | 180,909              |             |                                                                                                                                         | Fannie Mae, 4.0%, 6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 193,099                                                                                                                                                       |
|                                                                                                                                                                        | 23,806               |             |                                                                                                                                         | Fannie Mae, 4.0%, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 24,905                                                                                                                                                        |
|                                                                                                                                                                        | 5,397,747            |             |                                                                                                                                         | Fannie Mae, 4.0%, 7/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,812,110                                                                                                                                                     |
|                                                                                                                                                                        | 345,877              |             |                                                                                                                                         | Fannie Mae, 4.0%, 7/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 369,676                                                                                                                                                       |
|                                                                                                                                                                        | 8,998,023            |             |                                                                                                                                         | Fannie Mae, 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 9,604,326                                                                                                                                                     |
|                                                                                                                                                                        | 600,842              |             |                                                                                                                                         | Fannie Mae, 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 641,328                                                                                                                                                       |
|                                                                                                                                                                        | 12,991,110           |             |                                                                                                                                         | Fannie Mae, 4.0%, 8/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 13,908,657                                                                                                                                                    |
|                                                                                                                                                                        | 475,141              |             |                                                                                                                                         | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 507,157                                                                                                                                                       |
|                                                                                                                                                                        | 7,559,907            |             |                                                                                                                                         | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 8,069,321                                                                                                                                                     |
|                                                                                                                                                                        | 2,285,370            |             |                                                                                                                                         | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,439,362                                                                                                                                                     |
|                                                                                                                                                                        | 397,856              |             |                                                                                                                                         | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 425,321                                                                                                                                                       |
|                                                                                                                                                                        | 793,356              |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 846,813                                                                                                                                                       |
|                                                                                                                                                                        | 78,557               |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 83,851                                                                                                                                                        |
|                                                                                                                                                                        | 271,544              |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 289,841                                                                                                                                                       |
|                                                                                                                                                                        | 69,886               |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 74,595                                                                                                                                                        |
|                                                                                                                                                                        | 11,514,946           |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 12,363,368                                                                                                                                                    |
|                                                                                                                                                                        | 653,142              |             |                                                                                                                                         | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 697,152                                                                                                                                                       |
|                                                                                                                                                                        | 9,139,217            |             |                                                                                                                                         | Fannie Mae, 4.5%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 9,937,906                                                                                                                                                     |
|                                                                                                                                                                        | 6,888,420            |             |                                                                                                                                         | Fannie Mae, 4.5%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 7,478,706                                                                                                                                                     |
|                                                                                                                                                                        | 11,139,677           |             |                                                                                                                                         | Fannie Mae, 4.5%, 1/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 12,096,022                                                                                                                                                    |
|                                                                                                                                                                        | 259,359              |             |                                                                                                                                         | Fannie Mae, 4.5%, 10/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 281,481                                                                                                                                                       |
|                                                                                                                                                                        | 285,876              |             |                                                                                                                                         | Fannie Mae, 4.5%, 10/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 309,818                                                                                                                                                       |
|                                                                                                                                                                        | 356,883              |             |                                                                                                                                         | Fannie Mae, 4.5%, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 371,378                                                                                                                                                       |
|                                                                                                                                                                        | 2,553,032            |             |                                                                                                                                         | Fannie Mae, 4.5%, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,774,579                                                                                                                                                     |
|                                                                                                                                                                        | 705,528              |             |                                                                                                                                         | Fannie Mae, 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 776,182                                                                                                                                                       |
|                                                                                                                                                                        | 380,481              |             |                                                                                                                                         | Fannie Mae, 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 418,804                                                                                                                                                       |
|                                                                                                                                                                        | 1,187,423            |             |                                                                                                                                         | Fannie Mae, 4.5%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,291,505                                                                                                                                                     |
|                                                                                                                                                                        | 14,265,997           |             |                                                                                                                                         | Fannie Mae, 4.5%, 12/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 15,491,336                                                                                                                                                    |
|                                                                                                                                                                        | 11,477,938           |             |                                                                                                                                         | Fannie Mae, 4.5%, 12/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 12,435,363                                                                                                                                                    |
|                                                                                                                                                                        | 1,089,697            |             |                                                                                                                                         | Fannie Mae, 4.5%, 2/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,185,054                                                                                                                                                     |
|                                                                                                                                                                        | 426,363              |             |                                                                                                                                         | Fannie Mae, 4.5%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 462,997                                                                                                                                                       |
|                                                                                                                                                                        | 2,626,837            |             |                                                                                                                                         | Fannie Mae, 4.5%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,853,993                                                                                                                                                     |
|                                                                                                                                                                        | 3,487,905            |             |                                                                                                                                         | Fannie Mae, 4.5%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,780,995                                                                                                                                                     |
|                                                                                                                                                                        | 4,937,506            |             |                                                                                                                                         | Fannie Mae, 4.5%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,365,605                                                                                                                                                     |
|                                                                                                                                                                        | 144,426              |             |                                                                                                                                         | Fannie Mae, 4.5%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 157,057                                                                                                                                                       |
|                                                                                                                                                                        | 2,246,766            |             |                                                                                                                                         | Fannie Mae, 4.5%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,443,578                                                                                                                                                     |
|                                                                                                                                                                        | 1,811,217            |             |                                                                                                                                         | Fannie Mae, 4.5%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,963,777                                                                                                                                                     |
|                                                                                                                                                                        | 320,978              |             |                                                                                                                                         | Fannie Mae, 4.5%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 350,445                                                                                                                                                       |
|                                                                                                                                                                        | 845,787              |             |                                                                                                                                         | Fannie Mae, 4.5%, 8/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 919,002                                                                                                                                                       |
|                                                                                                                                                                        | 1,265,133            |             |                                                                                                                                         | Fannie Mae, 4.5%, 8/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,375,690                                                                                                                                                     |
|                                                                                                                                                                        | 238,529              |             |                                                                                                                                         | Fannie Mae, 5.0%, 1/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 248,101                                                                                                                                                       |
|                                                                                                                                                                        | 362,316              |             |                                                                                                                                         | Fannie Mae, 5.0%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 385,153                                                                                                                                                       |
|                                                                                                                                                                        | 8,996                |             |                                                                                                                                         | Fannie Mae, 5.0%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 9,345                                                                                                                                                         |
|                                                                                                                                                                        | 46,772               |             |                                                                                                                                         | Fannie Mae, 5.0%, 2/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 48,741                                                                                                                                                        |
|                                                                                                                                                                        | 17,973               |             |                                                                                                                                         | Fannie Mae, 5.0%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 19,450                                                                                                                                                        |
|                                                                                                                                                                        | 284,940              |             |                                                                                                                                         | Fannie Mae, 5.0%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 296,209                                                                                                                                                       |
|                                                                                                                                                                        | 5,206,716            |             |                                                                                                                                         | Fannie Mae, 5.0%, 2/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,748,722                                                                                                                                                     |
|                                                                                                                                                                        | 20,206,945           |             |                                                                                                                                         | Fannie Mae, 5.0%, 2/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 22,336,216                                                                                                                                                    |
|                                                                                                                                                                        | 459,940              |             |                                                                                                                                         | Fannie Mae, 5.0%, 5/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 496,149                                                                                                                                                       |
|                                                                                                                                                                        | 1,055,614            |             |                                                                                                                                         | Fannie Mae, 5.0%, 6/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,165,376                                                                                                                                                     |
|                                                                                                                                                                        | 968,274              |             |                                                                                                                                         | Fannie Mae, 5.0%, 6/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,065,447                                                                                                                                                     |
|                                                                                                                                                                        | 1,171,525            |             |                                                                                                                                         | Fannie Mae, 5.0%, 7/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,290,631                                                                                                                                                     |
|                                                                                                                                                                        | 1,547,637            |             |                                                                                                                                         | Fannie Mae, 5.0%, 7/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,705,987                                                                                                                                                     |
|                                                                                                                                                                        | 803,396              |             |                                                                                                                                         | Fannie Mae, 5.0%, 7/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 886,352                                                                                                                                                       |
|                                                                                                                                                                        | 122,214              |             |                                                                                                                                         | Fannie Mae, 5.5%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 126,250                                                                                                                                                       |
|                                                                                                                                                                        | 66,549               |             |                                                                                                                                         | Fannie Mae, 5.5%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 68,686                                                                                                                                                        |
|                                                                                                                                                                        | 407,046              |             |                                                                                                                                         | Fannie Mae, 5.5%, 3/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 457,854                                                                                                                                                       |
|                                                                                                                                                                        | 235,826              |             |                                                                                                                                         | Fannie Mae, 5.5%, 5/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 265,039                                                                                                                                                       |
|                                                                                                                                                                        | 35,545               |             |                                                                                                                                         | Fannie Mae, 5.5%, 6/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 39,731                                                                                                                                                        |
|                                                                                                                                                                        | 293,164              |             |                                                                                                                                         | Fannie Mae, 5.5%, 6/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 328,434                                                                                                                                                       |
|                                                                                                                                                                        | 126,604              |             |                                                                                                                                         | Fannie Mae, 5.5%, 7/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 142,255                                                                                                                                                       |
|                                                                                                                                                                        | 895,200              |             |                                                                                                                                         | Fannie Mae, 5.5%, 7/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,008,421                                                                                                                                                     |
|                                                                                                                                                                        | 45,418               |             |                                                                                                                                         | Fannie Mae, 5.5%, 9/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 47,047                                                                                                                                                        |
|                                                                                                                                                                        | 200,503              |             |                                                                                                                                         | Fannie Mae, 5.5%, 9/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 209,519                                                                                                                                                       |
|                                                                                                                                                                        | 875                  |             |                                                                                                                                         | Fannie Mae, 6.0%, 1/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 997                                                                                                                                                           |
|                                                                                                                                                                        | 4,711                |             |                                                                                                                                         | Fannie Mae, 6.0%, 1/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,375                                                                                                                                                         |
|                                                                                                                                                                        | 73,046               |             |                                                                                                                                         | Fannie Mae, 6.0%, 10/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 83,335                                                                                                                                                        |
|                                                                                                                                                                        | 20,539               |             |                                                                                                                                         | Fannie Mae, 6.0%, 10/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 23,346                                                                                                                                                        |
|                                                                                                                                                                        | 172,864              |             |                                                                                                                                         | Fannie Mae, 6.0%, 10/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 194,966                                                                                                                                                       |
|                                                                                                                                                                        | 36,103               |             |                                                                                                                                         | Fannie Mae, 6.0%, 11/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 41,087                                                                                                                                                        |
|                                                                                                                                                                        | 16,139               |             |                                                                                                                                         | Fannie Mae, 6.0%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 18,358                                                                                                                                                        |
|                                                                                                                                                                        | 416,321              |             |                                                                                                                                         | Fannie Mae, 6.0%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 469,547                                                                                                                                                       |
|                                                                                                                                                                        | 27,323               |             |                                                                                                                                         | Fannie Mae, 6.0%, 2/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 30,820                                                                                                                                                        |
|                                                                                                                                                                        | 17,591               |             |                                                                                                                                         | Fannie Mae, 6.0%, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 19,873                                                                                                                                                        |
|                                                                                                                                                                        | 5,955                |             |                                                                                                                                         | Fannie Mae, 6.0%, 2/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,768                                                                                                                                                         |
|                                                                                                                                                                        | 14,691               |             |                                                                                                                                         | Fannie Mae, 6.0%, 2/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 16,697                                                                                                                                                        |
|                                                                                                                                                                        | 8,118                |             |                                                                                                                                         | Fannie Mae, 6.0%, 3/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 9,257                                                                                                                                                         |
|                                                                                                                                                                        | 104,114              |             |                                                                                                                                         | Fannie Mae, 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 118,755                                                                                                                                                       |
|                                                                                                                                                                        | 99,690               |             |                                                                                                                                         | Fannie Mae, 6.0%, 4/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 113,000                                                                                                                                                       |
|                                                                                                                                                                        | 260,744              |             |                                                                                                                                         | Fannie Mae, 6.0%, 4/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 296,593                                                                                                                                                       |
|                                                                                                                                                                        | 68,103               |             |                                                                                                                                         | Fannie Mae, 6.0%, 5/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 77,356                                                                                                                                                        |
|                                                                                                                                                                        | 4,348                |             |                                                                                                                                         | Fannie Mae, 6.0%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 4,408                                                                                                                                                         |
|                                                                                                                                                                        | 350,095              |             |                                                                                                                                         | Fannie Mae, 6.0%, 6/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 399,161                                                                                                                                                       |
|                                                                                                                                                                        | 200,218              |             |                                                                                                                                         | Fannie Mae, 6.0%, 7/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 228,026                                                                                                                                                       |
|                                                                                                                                                                        | 461,026              |             |                                                                                                                                         | Fannie Mae, 6.0%, 7/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 523,640                                                                                                                                                       |
|                                                                                                                                                                        | 63,136               |             |                                                                                                                                         | Fannie Mae, 6.0%, 7/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 71,259                                                                                                                                                        |
|                                                                                                                                                                        | 5,158                |             |                                                                                                                                         | Fannie Mae, 6.0%, 8/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,867                                                                                                                                                         |
|                                                                                                                                                                        | 186,117              |             |                                                                                                                                         | Fannie Mae, 6.0%, 8/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 211,842                                                                                                                                                       |
|                                                                                                                                                                        | 1,342                |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,530                                                                                                                                                         |
|                                                                                                                                                                        | 620                  |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 701                                                                                                                                                           |
|                                                                                                                                                                        | 36,926               |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 41,940                                                                                                                                                        |
|                                                                                                                                                                        | 60,563               |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 68,275                                                                                                                                                        |
|                                                                                                                                                                        | 134,969              |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 152,969                                                                                                                                                       |
|                                                                                                                                                                        | 13,927               |             |                                                                                                                                         | Fannie Mae, 6.0%, 9/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 15,820                                                                                                                                                        |
|                                                                                                                                                                        | 3,152                |             |                                                                                                                                         | Fannie Mae, 6.5%, 1/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,601                                                                                                                                                         |
|                                                                                                                                                                        | 11,350               |             |                                                                                                                                         | Fannie Mae, 6.5%, 10/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 12,966                                                                                                                                                        |
|                                                                                                                                                                        | 74,772               |             |                                                                                                                                         | Fannie Mae, 6.5%, 10/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 85,417                                                                                                                                                        |
|                                                                                                                                                                        | 190,043              |             |                                                                                                                                         | Fannie Mae, 6.5%, 11/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 217,100                                                                                                                                                       |
|                                                                                                                                                                        | 135,731              |             |                                                                                                                                         | Fannie Mae, 6.5%, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 155,056                                                                                                                                                       |
|                                                                                                                                                                        | 4,958                |             |                                                                                                                                         | Fannie Mae, 6.5%, 2/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,664                                                                                                                                                         |
|                                                                                                                                                                        | 79,143               |             |                                                                                                                                         | Fannie Mae, 6.5%, 3/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 90,411                                                                                                                                                        |
|                                                                                                                                                                        | 2,902                |             |                                                                                                                                         | Fannie Mae, 6.5%, 4/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,350                                                                                                                                                         |
|                                                                                                                                                                        | 8,676                |             |                                                                                                                                         | Fannie Mae, 6.5%, 5/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,026                                                                                                                                                        |
|                                                                                                                                                                        | 75,494               |             |                                                                                                                                         | Fannie Mae, 6.5%, 6/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 86,242                                                                                                                                                        |
|                                                                                                                                                                        | 8,904                |             |                                                                                                                                         | Fannie Mae, 6.5%, 7/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,172                                                                                                                                                        |
|                                                                                                                                                                        | 30,374               |             |                                                                                                                                         | Fannie Mae, 6.5%, 7/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 34,699                                                                                                                                                        |
|                                                                                                                                                                        | 9,236                |             |                                                                                                                                         | Fannie Mae, 6.5%, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 10,551                                                                                                                                                        |
|                                                                                                                                                                        | 8,444                |             |                                                                                                                                         | Fannie Mae, 6.5%, 9/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 9,646                                                                                                                                                         |
|                                                                                                                                                                        | 5,900                |             |                                                                                                                                         | Fannie Mae, 6.5%, 9/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,740                                                                                                                                                         |
|                                                                                                                                                                        | 22,586               |             |                                                                                                                                         | Fannie Mae, 7.0%, 1/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 26,206                                                                                                                                                        |
|                                                                                                                                                                        | 766                  |             |                                                                                                                                         | Fannie Mae, 7.0%, 12/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 820                                                                                                                                                           |
|                                                                                                                                                                        | 7,458                |             |                                                                                                                                         | Fannie Mae, 7.0%, 12/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 8,502                                                                                                                                                         |
|                                                                                                                                                                        | 25,908               |             |                                                                                                                                         | Fannie Mae, 7.0%, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 27,826                                                                                                                                                        |
|                                                                                                                                                                        | 10,273               |             |                                                                                                                                         | Fannie Mae, 7.0%, 4/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 12,558                                                                                                                                                        |
|                                                                                                                                                                        | 15,270               |             |                                                                                                                                         | Fannie Mae, 7.0%, 9/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 17,996                                                                                                                                                        |
|                                                                                                                                                                        | 547                  |             |                                                                                                                                         | Fannie Mae, 8.0%, 10/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 661                                                                                                                                                           |
|                                                                                                                                                                        | 2,134                |             |                                                                                                                                         | Fannie Mae, 8.0%, 2/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,415                                                                                                                                                         |
|                                                                                                                                                                        | 7,761                |             |                                                                                                                                         | Fannie Mae, 8.0%, 3/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 9,315                                                                                                                                                         |
|                                                                                                                                                                        | 541                  |             |                                                                                                                                         | Fannie Mae, 8.0%, 4/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 654                                                                                                                                                           |
|                                                                                                                                                                        | 163                  |             |                                                                                                                                         | Fannie Mae, 8.0%, 5/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 163                                                                                                                                                           |
|                                                                                                                                                                        | 460                  |             |                                                                                                                                         | Fannie Mae, 8.0%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 543                                                                                                                                                           |
|                                                                                                                                                                        | 466,101              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 2.5%, 1/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 476,143                                                                                                                                                       |
|                                                                                                                                                                        | 265,933              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 2.5%, 4/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 271,668                                                                                                                                                       |
|                                                                                                                                                                        | 4,500,711            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.0%, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 4,686,957                                                                                                                                                     |
|                                                                                                                                                                        | 4,282,308            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.0%, 8/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,471,625                                                                                                                                                     |
|                                                                                                                                                                        | 1,798,583            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 11/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,914,653                                                                                                                                                     |
|                                                                                                                                                                        | 187,806              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 195,665                                                                                                                                                       |
|                                                                                                                                                                        | 9,695,485            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 10,098,931                                                                                                                                                    |
|                                                                                                                                                                        | 4,852,648            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 3/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,054,575                                                                                                                                                     |
|                                                                                                                                                                        | 257,297              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 7/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 269,517                                                                                                                                                       |
|                                                                                                                                                                        | 3,916,387            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 8/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,086,851                                                                                                                                                     |
|                                                                                                                                                                        | 822,928              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 3.5%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 861,042                                                                                                                                                       |
|                                                                                                                                                                        | 2,981,344            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 1/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,176,849                                                                                                                                                     |
|                                                                                                                                                                        | 14,408,476           |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 11/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 15,621,437                                                                                                                                                    |
|                                                                                                                                                                        | 180,516              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 192,662                                                                                                                                                       |
|                                                                                                                                                                        | 2,660,010            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 2,838,807                                                                                                                                                     |
|                                                                                                                                                                        | 596,112              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 638,038                                                                                                                                                       |
|                                                                                                                                                                        | 2,429,593            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 4/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,590,879                                                                                                                                                     |
|                                                                                                                                                                        | 9,051,537            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 5/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 9,645,102                                                                                                                                                     |
|                                                                                                                                                                        | 195,486              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 7/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 208,659                                                                                                                                                       |
|                                                                                                                                                                        | 11,729,791           |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 12,498,986                                                                                                                                                    |
|                                                                                                                                                                        | 1,368,207            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,464,430                                                                                                                                                     |
|                                                                                                                                                                        | 1,401,232            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,500,166                                                                                                                                                     |
|                                                                                                                                                                        | 1,039,414            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,112,734                                                                                                                                                     |
|                                                                                                                                                                        | 4,768,459            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,081,156                                                                                                                                                     |
|                                                                                                                                                                        | 10,673,539           |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 11,427,184                                                                                                                                                    |
|                                                                                                                                                                        | 337,855              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 351,294                                                                                                                                                       |
|                                                                                                                                                                        | 4,710,730            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 5,111,504                                                                                                                                                     |
|                                                                                                                                                                        | 336,321              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 364,188                                                                                                                                                       |
|                                                                                                                                                                        | 146,728              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 3/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 152,044                                                                                                                                                       |
|                                                                                                                                                                        | 7,439,409            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 3/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 8,075,126                                                                                                                                                     |
|                                                                                                                                                                        | 2,853,727            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 4.5%, 3/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 3,107,412                                                                                                                                                     |
|                                                                                                                                                                        | 945,552              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,002,680                                                                                                                                                     |
|                                                                                                                                                                        | 444,554              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 10/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 486,773                                                                                                                                                       |
|                                                                                                                                                                        | 19,199               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 21,199                                                                                                                                                        |
|                                                                                                                                                                        | 26,524               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 12/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 28,526                                                                                                                                                        |
|                                                                                                                                                                        | 354,387              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 6/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 387,917                                                                                                                                                       |
|                                                                                                                                                                        | 467,769              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.0%, 9/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 512,132                                                                                                                                                       |
|                                                                                                                                                                        | 29,859               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 33,271                                                                                                                                                        |
|                                                                                                                                                                        | 151,384              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 168,740                                                                                                                                                       |
|                                                                                                                                                                        | 49,274               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 11/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 54,655                                                                                                                                                        |
|                                                                                                                                                                        | 206,482              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 12/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 215,315                                                                                                                                                       |
|                                                                                                                                                                        | 1,891,261            |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 6/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,094,710                                                                                                                                                     |
|                                                                                                                                                                        | 227,471              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 8/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 252,056                                                                                                                                                       |
|                                                                                                                                                                        | 311,303              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 5.5%, 9/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 346,486                                                                                                                                                       |
|                                                                                                                                                                        | 62,051               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 1/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 69,763                                                                                                                                                        |
|                                                                                                                                                                        | 37,625               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 1/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 42,306                                                                                                                                                        |
|                                                                                                                                                                        | 40,248               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 1/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 46,039                                                                                                                                                        |
|                                                                                                                                                                        | 22,183               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 11/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 25,373                                                                                                                                                        |
|                                                                                                                                                                        | 121,293              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 12/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 136,460                                                                                                                                                       |
|                                                                                                                                                                        | 126,737              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 12/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 142,533                                                                                                                                                       |
|                                                                                                                                                                        | 9,406                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 12/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 10,582                                                                                                                                                        |
|                                                                                                                                                                        | 51,680               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 58,690                                                                                                                                                        |
|                                                                                                                                                                        | 4,952                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,567                                                                                                                                                         |
|                                                                                                                                                                        | 73,856               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 84,310                                                                                                                                                        |
|                                                                                                                                                                        | 220,486              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 252,233                                                                                                                                                       |
|                                                                                                                                                                        | 38,920               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 43,758                                                                                                                                                        |
|                                                                                                                                                                        | 14,051               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 4/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 15,799                                                                                                                                                        |
|                                                                                                                                                                        | 58,354               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 4/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 66,357                                                                                                                                                        |
|                                                                                                                                                                        | 425,853              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 4/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 485,564                                                                                                                                                       |
|                                                                                                                                                                        | 39,135               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 5/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 40,106                                                                                                                                                        |
|                                                                                                                                                                        | 202,097              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 5/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 230,556                                                                                                                                                       |
|                                                                                                                                                                        | 638,187              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 5/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 730,005                                                                                                                                                       |
|                                                                                                                                                                        | 126,387              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 6/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 142,024                                                                                                                                                       |
|                                                                                                                                                                        | 113,338              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 6/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 127,478                                                                                                                                                       |
|                                                                                                                                                                        | 168,045              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 8/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 192,018                                                                                                                                                       |
|                                                                                                                                                                        | 151,839              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.0%, 9/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 172,757                                                                                                                                                       |
|                                                                                                                                                                        | 160                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 1/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 183                                                                                                                                                           |
|                                                                                                                                                                        | 169                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 1/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 193                                                                                                                                                           |
|                                                                                                                                                                        | 388                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 1/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 443                                                                                                                                                           |
|                                                                                                                                                                        | 44,332               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 10/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 53,465                                                                                                                                                        |
|                                                                                                                                                                        | 358                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 11/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 409                                                                                                                                                           |
|                                                                                                                                                                        | 49,476               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 11/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 56,561                                                                                                                                                        |
|                                                                                                                                                                        | 3,606                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,123                                                                                                                                                         |
|                                                                                                                                                                        | 512                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 3/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 585                                                                                                                                                           |
|                                                                                                                                                                        | 7,191                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 3/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 8,220                                                                                                                                                         |
|                                                                                                                                                                        | 3,736                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 4/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,272                                                                                                                                                         |
|                                                                                                                                                                        | 5,539                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 5/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 6,332                                                                                                                                                         |
|                                                                                                                                                                        | 249                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 6/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 285                                                                                                                                                           |
|                                                                                                                                                                        | 15,044               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 17,751                                                                                                                                                        |
|                                                                                                                                                                        | 983                  |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,152                                                                                                                                                         |
|                                                                                                                                                                        | 4,278                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 6.5%, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 4,890                                                                                                                                                         |
|                                                                                                                                                                        | 3,280                |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 7.0%, 11/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 3,854                                                                                                                                                         |
|                                                                                                                                                                        | 80,082               |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 7.0%, 8/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 87,356                                                                                                                                                        |
|                                                                                                                                                                        | 211,360              |             |                                                                                                                                         | Federal Home Loan Mortgage Corp., 7.0%, 9/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 230,177                                                                                                                                                       |
|                                                                                                                                                                        | 439,617              |             |                                                                                                                                         | Federal National Mortgage Association, 4.0%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 473,725                                                                                                                                                       |
|                                                                                                                                                                        | 1,256,653            |             |                                                                                                                                         | Federal National Mortgage Association, 5.0%, 8/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,387,535                                                                                                                                                     |
|                                                                                                                                                                        | 18,900,351           |             |                                                                                                                                         | Government National Mortgage Association I, 3.5%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 19,798,688                                                                                                                                                    |
|                                                                                                                                                                        | 30,710,000           |             |                                                                                                                                         | Government National Mortgage Association I, 3.5%, 10/21/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 32,135,610                                                                                                                                                    |
|                                                                                                                                                                        | 998,370              |             |                                                                                                                                         | Government National Mortgage Association I, 3.5%, 4/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,046,047                                                                                                                                                     |
|                                                                                                                                                                        | 11,793,339           |             |                                                                                                                                         | Government National Mortgage Association I, 3.5%, 7/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 12,393,302                                                                                                                                                    |
|                                                                                                                                                                        | 36,578               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 39,041                                                                                                                                                        |
|                                                                                                                                                                        | 131,932              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 140,909                                                                                                                                                       |
|                                                                                                                                                                        | 4,205,691            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,493,273                                                                                                                                                     |
|                                                                                                                                                                        | 4,053,504            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,323,405                                                                                                                                                     |
|                                                                                                                                                                        | 5,487,795            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,853,198                                                                                                                                                     |
|                                                                                                                                                                        | 11,159               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 10/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 11,927                                                                                                                                                        |
|                                                                                                                                                                        | 9,706                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 10,365                                                                                                                                                        |
|                                                                                                                                                                        | 8,242                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 8,793                                                                                                                                                         |
|                                                                                                                                                                        | 8,910                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 9,504                                                                                                                                                         |
|                                                                                                                                                                        | 315,188              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 336,198                                                                                                                                                       |
|                                                                                                                                                                        | 12,273               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 13,100                                                                                                                                                        |
|                                                                                                                                                                        | 61,019               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 65,245                                                                                                                                                        |
|                                                                                                                                                                        | 6,900                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,362                                                                                                                                                         |
|                                                                                                                                                                        | 7,004                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,486                                                                                                                                                         |
|                                                                                                                                                                        | 31,064               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 33,344                                                                                                                                                        |
|                                                                                                                                                                        | 1,261,742            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,345,752                                                                                                                                                     |
|                                                                                                                                                                        | 10,494               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 12/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 11,193                                                                                                                                                        |
|                                                                                                                                                                        | 4,443,117            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,738,952                                                                                                                                                     |
|                                                                                                                                                                        | 15,237               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 16,264                                                                                                                                                        |
|                                                                                                                                                                        | 57,188               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 60,989                                                                                                                                                        |
|                                                                                                                                                                        | 512,646              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 546,957                                                                                                                                                       |
|                                                                                                                                                                        | 3,941,216            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,203,635                                                                                                                                                     |
|                                                                                                                                                                        | 6,233,368            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 6,658,887                                                                                                                                                     |
|                                                                                                                                                                        | 1,707,203            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,820,866                                                                                                                                                     |
|                                                                                                                                                                        | 7,232,356            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 7,713,877                                                                                                                                                     |
|                                                                                                                                                                        | 818,421              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 872,875                                                                                                                                                       |
|                                                                                                                                                                        | 24,493               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 26,200                                                                                                                                                        |
|                                                                                                                                                                        | 549,111              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 586,221                                                                                                                                                       |
|                                                                                                                                                                        | 5,368,163            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,733,828                                                                                                                                                     |
|                                                                                                                                                                        | 4,796,216            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,115,523                                                                                                                                                     |
|                                                                                                                                                                        | 15,217               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 16,234                                                                                                                                                        |
|                                                                                                                                                                        | 65,258               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 69,616                                                                                                                                                        |
|                                                                                                                                                                        | 13,347               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 5/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 14,240                                                                                                                                                        |
|                                                                                                                                                                        | 4,497,185            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 5/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,796,981                                                                                                                                                     |
|                                                                                                                                                                        | 8,220                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 6/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 8,767                                                                                                                                                         |
|                                                                                                                                                                        | 102,052              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 109,086                                                                                                                                                       |
|                                                                                                                                                                        | 12,995               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 8/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 13,861                                                                                                                                                        |
|                                                                                                                                                                        | 2,675,715            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 8/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,853,846                                                                                                                                                     |
|                                                                                                                                                                        | 803,682              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 858,614                                                                                                                                                       |
|                                                                                                                                                                        | 11,134               |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 11,902                                                                                                                                                        |
|                                                                                                                                                                        | 8,875                |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 9,491                                                                                                                                                         |
|                                                                                                                                                                        | 789,924              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 842,589                                                                                                                                                       |
|                                                                                                                                                                        | 5,027,564            |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,362,306                                                                                                                                                     |
|                                                                                                                                                                        | 153,506              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 163,962                                                                                                                                                       |
|                                                                                                                                                                        | 855,209              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 912,143                                                                                                                                                       |
|                                                                                                                                                                        | 785,681              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 837,913                                                                                                                                                       |
|                                                                                                                                                                        | 463,700              |             |                                                                                                                                         | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 494,573                                                                                                                                                       |
|                                                                                                                                                                        | 592,910              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 1/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 652,160                                                                                                                                                       |
|                                                                                                                                                                        | 231,741              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 252,862                                                                                                                                                       |
|                                                                                                                                                                        | 284,385              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 308,321                                                                                                                                                       |
|                                                                                                                                                                        | 166,431              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 180,440                                                                                                                                                       |
|                                                                                                                                                                        | 1,750,426            |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 12/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,905,996                                                                                                                                                     |
|                                                                                                                                                                        | 46,523               |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 2/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 50,915                                                                                                                                                        |
|                                                                                                                                                                        | 137,517              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 3/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 149,927                                                                                                                                                       |
|                                                                                                                                                                        | 40,582               |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 3/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 44,013                                                                                                                                                        |
|                                                                                                                                                                        | 239,894              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 261,178                                                                                                                                                       |
|                                                                                                                                                                        | 22,092               |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 23,965                                                                                                                                                        |
|                                                                                                                                                                        | 144,588              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 4/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 156,757                                                                                                                                                       |
|                                                                                                                                                                        | 1,240,472            |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,346,321                                                                                                                                                     |
|                                                                                                                                                                        | 1,727,169            |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,872,542                                                                                                                                                     |
|                                                                                                                                                                        | 1,425,676            |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,548,248                                                                                                                                                     |
|                                                                                                                                                                        | 101,594              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 110,756                                                                                                                                                       |
|                                                                                                                                                                        | 542,137              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 587,773                                                                                                                                                       |
|                                                                                                                                                                        | 1,964,191            |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,131,938                                                                                                                                                     |
|                                                                                                                                                                        | 279,088              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 307,151                                                                                                                                                       |
|                                                                                                                                                                        | 26,029               |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 9/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 28,219                                                                                                                                                        |
|                                                                                                                                                                        | 380,877              |             |                                                                                                                                         | Government National Mortgage Association I, 4.5%, 9/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 412,936                                                                                                                                                       |
|                                                                                                                                                                        | 101,821              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 107,241                                                                                                                                                       |
|                                                                                                                                                                        | 131,897              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 4/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 147,632                                                                                                                                                       |
|                                                                                                                                                                        | 532,924              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 599,167                                                                                                                                                       |
|                                                                                                                                                                        | 110,519              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 117,120                                                                                                                                                       |
|                                                                                                                                                                        | 1,187                |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,254                                                                                                                                                         |
|                                                                                                                                                                        | 136,468              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 152,695                                                                                                                                                       |
|                                                                                                                                                                        | 126,839              |             |                                                                                                                                         | Government National Mortgage Association I, 5.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 141,918                                                                                                                                                       |
|                                                                                                                                                                        | 165,991              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 186,219                                                                                                                                                       |
|                                                                                                                                                                        | 31,207               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 10/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 32,053                                                                                                                                                        |
|                                                                                                                                                                        | 105,103              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 10/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 108,207                                                                                                                                                       |
|                                                                                                                                                                        | 90,181               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 102,331                                                                                                                                                       |
|                                                                                                                                                                        | 122,939              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 139,261                                                                                                                                                       |
|                                                                                                                                                                        | 235,724              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 265,949                                                                                                                                                       |
|                                                                                                                                                                        | 42,804               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 44,503                                                                                                                                                        |
|                                                                                                                                                                        | 269,583              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 11/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 283,969                                                                                                                                                       |
|                                                                                                                                                                        | 586,175              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 11/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 662,936                                                                                                                                                       |
|                                                                                                                                                                        | 27,889               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 12/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 29,037                                                                                                                                                        |
|                                                                                                                                                                        | 124,904              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 2/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 128,660                                                                                                                                                       |
|                                                                                                                                                                        | 91,619               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 2/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 94,547                                                                                                                                                        |
|                                                                                                                                                                        | 43,720               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 2/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 48,918                                                                                                                                                        |
|                                                                                                                                                                        | 78,697               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 2/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 88,052                                                                                                                                                        |
|                                                                                                                                                                        | 59,067               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 66,659                                                                                                                                                        |
|                                                                                                                                                                        | 1,729                |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 4/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,807                                                                                                                                                         |
|                                                                                                                                                                        | 16,482               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 18,873                                                                                                                                                        |
|                                                                                                                                                                        | 156,902              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 6/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 176,349                                                                                                                                                       |
|                                                                                                                                                                        | 94,626               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 108,326                                                                                                                                                       |
|                                                                                                                                                                        | 99,821               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 113,026                                                                                                                                                       |
|                                                                                                                                                                        | 469,175              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 7/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 535,386                                                                                                                                                       |
|                                                                                                                                                                        | 654,183              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 764,493                                                                                                                                                       |
|                                                                                                                                                                        | 157,964              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 164,846                                                                                                                                                       |
|                                                                                                                                                                        | 166,480              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 174,923                                                                                                                                                       |
|                                                                                                                                                                        | 25,345               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 8/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 29,001                                                                                                                                                        |
|                                                                                                                                                                        | 27,466               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 8/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 31,438                                                                                                                                                        |
|                                                                                                                                                                        | 44,278               |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 8/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 50,687                                                                                                                                                        |
|                                                                                                                                                                        | 155,613              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 163,324                                                                                                                                                       |
|                                                                                                                                                                        | 197,941              |             |                                                                                                                                         | Government National Mortgage Association I, 5.5%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 226,601                                                                                                                                                       |
|                                                                                                                                                                        | 4,769                |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 1/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,858                                                                                                                                                         |
|                                                                                                                                                                        | 19,434               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 20,213                                                                                                                                                        |
|                                                                                                                                                                        | 47,016               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 52,824                                                                                                                                                        |
|                                                                                                                                                                        | 146,333              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 169,204                                                                                                                                                       |
|                                                                                                                                                                        | 42,824               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 10/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 49,433                                                                                                                                                        |
|                                                                                                                                                                        | 55,454               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 64,108                                                                                                                                                        |
|                                                                                                                                                                        | 317,891              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 10/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 367,354                                                                                                                                                       |
|                                                                                                                                                                        | 136,609              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 10/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 155,598                                                                                                                                                       |
|                                                                                                                                                                        | 40,313               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 11/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 46,444                                                                                                                                                        |
|                                                                                                                                                                        | 167,662              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 11/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 193,890                                                                                                                                                       |
|                                                                                                                                                                        | 166,296              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 188,730                                                                                                                                                       |
|                                                                                                                                                                        | 122,185              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 2/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 141,162                                                                                                                                                       |
|                                                                                                                                                                        | 41,798               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 48,300                                                                                                                                                        |
|                                                                                                                                                                        | 20,198               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 20,564                                                                                                                                                        |
|                                                                                                                                                                        | 15,796               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 16,113                                                                                                                                                        |
|                                                                                                                                                                        | 2,475                |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,862                                                                                                                                                         |
|                                                                                                                                                                        | 424,865              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 498,412                                                                                                                                                       |
|                                                                                                                                                                        | 132,830              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 152,224                                                                                                                                                       |
|                                                                                                                                                                        | 117,153              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 135,467                                                                                                                                                       |
|                                                                                                                                                                        | 194,564              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 220,578                                                                                                                                                       |
|                                                                                                                                                                        | 329,099              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 380,358                                                                                                                                                       |
|                                                                                                                                                                        | 150,450              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 173,231                                                                                                                                                       |
|                                                                                                                                                                        | 9,859                |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 4/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 9,938                                                                                                                                                         |
|                                                                                                                                                                        | 46,229               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 52,855                                                                                                                                                        |
|                                                                                                                                                                        | 50,285               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 56,667                                                                                                                                                        |
|                                                                                                                                                                        | 24,336               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 27,730                                                                                                                                                        |
|                                                                                                                                                                        | 10,483               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 10,570                                                                                                                                                        |
|                                                                                                                                                                        | 26,694               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 27,364                                                                                                                                                        |
|                                                                                                                                                                        | 160,056              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 180,005                                                                                                                                                       |
|                                                                                                                                                                        | 2,836                |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,859                                                                                                                                                         |
|                                                                                                                                                                        | 13,280               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 15,345                                                                                                                                                        |
|                                                                                                                                                                        | 9,187                |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 10,612                                                                                                                                                        |
|                                                                                                                                                                        | 348,617              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 401,071                                                                                                                                                       |
|                                                                                                                                                                        | 94,398               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 99,099                                                                                                                                                        |
|                                                                                                                                                                        | 249,661              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 287,566                                                                                                                                                       |
|                                                                                                                                                                        | 97,341               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 109,367                                                                                                                                                       |
|                                                                                                                                                                        | 66,154               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 75,847                                                                                                                                                        |
|                                                                                                                                                                        | 19,792               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 22,237                                                                                                                                                        |
|                                                                                                                                                                        | 68,520               |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 77,419                                                                                                                                                        |
|                                                                                                                                                                        | 203,477              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 235,363                                                                                                                                                       |
|                                                                                                                                                                        | 888,818              |             |                                                                                                                                         | Government National Mortgage Association I, 6.0%, 9/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,027,376                                                                                                                                                     |
|                                                                                                                                                                        | 25,449               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 29,181                                                                                                                                                        |
|                                                                                                                                                                        | 94,819               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 108,722                                                                                                                                                       |
|                                                                                                                                                                        | 466,488              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 563,098                                                                                                                                                       |
|                                                                                                                                                                        | 4,802                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,820                                                                                                                                                         |
|                                                                                                                                                                        | 15,577               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 17,860                                                                                                                                                        |
|                                                                                                                                                                        | 714                  |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 819                                                                                                                                                           |
|                                                                                                                                                                        | 38,435               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 44,071                                                                                                                                                        |
|                                                                                                                                                                        | 105,536              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 121,011                                                                                                                                                       |
|                                                                                                                                                                        | 7,943                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 9,177                                                                                                                                                         |
|                                                                                                                                                                        | 108,753              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 10/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 124,733                                                                                                                                                       |
|                                                                                                                                                                        | 2,129                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,441                                                                                                                                                         |
|                                                                                                                                                                        | 5,408                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 11/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 6,201                                                                                                                                                         |
|                                                                                                                                                                        | 70,242               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 11/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 83,976                                                                                                                                                        |
|                                                                                                                                                                        | 442,286              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 524,278                                                                                                                                                       |
|                                                                                                                                                                        | 9,725                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 2/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 11,151                                                                                                                                                        |
|                                                                                                                                                                        | 1,472                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 2/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,688                                                                                                                                                         |
|                                                                                                                                                                        | 31,469               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 36,084                                                                                                                                                        |
|                                                                                                                                                                        | 48,682               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 2/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 55,820                                                                                                                                                        |
|                                                                                                                                                                        | 82,680               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 3/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 94,803                                                                                                                                                        |
|                                                                                                                                                                        | 10,192               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 3/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 11,686                                                                                                                                                        |
|                                                                                                                                                                        | 12,312               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 3/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 14,117                                                                                                                                                        |
|                                                                                                                                                                        | 16,814               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 19,279                                                                                                                                                        |
|                                                                                                                                                                        | 92,950               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 4/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 111,979                                                                                                                                                       |
|                                                                                                                                                                        | 9,948                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 4/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 11,407                                                                                                                                                        |
|                                                                                                                                                                        | 42,271               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 48,469                                                                                                                                                        |
|                                                                                                                                                                        | 4,789                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,491                                                                                                                                                         |
|                                                                                                                                                                        | 82,638               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 95,926                                                                                                                                                        |
|                                                                                                                                                                        | 24,240               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 28,389                                                                                                                                                        |
|                                                                                                                                                                        | 21,377               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 25,275                                                                                                                                                        |
|                                                                                                                                                                        | 12,202               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 14,042                                                                                                                                                        |
|                                                                                                                                                                        | 32,651               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 37,438                                                                                                                                                        |
|                                                                                                                                                                        | 15,741               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 6/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 18,265                                                                                                                                                        |
|                                                                                                                                                                        | 165,750              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 6/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 190,118                                                                                                                                                       |
|                                                                                                                                                                        | 6,760                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 6/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 7,751                                                                                                                                                         |
|                                                                                                                                                                        | 160,091              |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 7/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 188,783                                                                                                                                                       |
|                                                                                                                                                                        | 45,770               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 7/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 52,644                                                                                                                                                        |
|                                                                                                                                                                        | 52,885               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 60,639                                                                                                                                                        |
|                                                                                                                                                                        | 66,736               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 76,522                                                                                                                                                        |
|                                                                                                                                                                        | 63,944               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 8/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 73,320                                                                                                                                                        |
|                                                                                                                                                                        | 29,223               |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 33,729                                                                                                                                                        |
|                                                                                                                                                                        | 4,000                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,587                                                                                                                                                         |
|                                                                                                                                                                        | 4,184                |             |                                                                                                                                         | Government National Mortgage Association I, 6.5%, 9/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,798                                                                                                                                                         |
|                                                                                                                                                                        | 7,217                |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,508                                                                                                                                                         |
|                                                                                                                                                                        | 20,459               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 11/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 24,348                                                                                                                                                        |
|                                                                                                                                                                        | 60,449               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 11/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 72,945                                                                                                                                                        |
|                                                                                                                                                                        | 11,385               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 12,870                                                                                                                                                        |
|                                                                                                                                                                        | 4,437                |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,738                                                                                                                                                         |
|                                                                                                                                                                        | 17,691               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 3/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 20,196                                                                                                                                                        |
|                                                                                                                                                                        | 2,410                |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,712                                                                                                                                                         |
|                                                                                                                                                                        | 24,498               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 4/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 25,560                                                                                                                                                        |
|                                                                                                                                                                        | 90,545               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 112,823                                                                                                                                                       |
|                                                                                                                                                                        | 37,201               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 6/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 45,576                                                                                                                                                        |
|                                                                                                                                                                        | 4,287                |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 7/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 5,135                                                                                                                                                         |
|                                                                                                                                                                        | 1,722                |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 8/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,043                                                                                                                                                         |
|                                                                                                                                                                        | 173,521              |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 8/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 213,948                                                                                                                                                       |
|                                                                                                                                                                        | 13,920               |             |                                                                                                                                         | Government National Mortgage Association I, 7.0%, 9/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 14,918                                                                                                                                                        |
|                                                                                                                                                                        | 6,377                |             |                                                                                                                                         | Government National Mortgage Association I, 7.5%, 10/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 6,754                                                                                                                                                         |
|                                                                                                                                                                        | 46,586               |             |                                                                                                                                         | Government National Mortgage Association I, 7.5%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 49,271                                                                                                                                                        |
|                                                                                                                                                                        | 1,858                |             |                                                                                                                                         | Government National Mortgage Association I, 7.5%, 2/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,950                                                                                                                                                         |
|                                                                                                                                                                        | 15,249               |             |                                                                                                                                         | Government National Mortgage Association I, 7.5%, 2/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 15,539                                                                                                                                                        |
|                                                                                                                                                                        | 18,395               |             |                                                                                                                                         | Government National Mortgage Association I, 7.5%, 8/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 19,620                                                                                                                                                        |
|                                                                                                                                                                        | 2,368                |             |                                                                                                                                         | Government National Mortgage Association I, 7.75%, 2/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,426                                                                                                                                                         |
|                                                                                                                                                                        | 1,296,323            |             |                                                                                                                                         | Government National Mortgage Association II, 3.5%, 3/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,361,247                                                                                                                                                     |
|                                                                                                                                                                        | 1,511,313            |             |                                                                                                                                         | Government National Mortgage Association II, 3.5%, 4/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,589,218                                                                                                                                                     |
|                                                                                                                                                                        | 594,316              |             |                                                                                                                                         | Government National Mortgage Association II, 3.5%, 4/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 624,400                                                                                                                                                       |
|                                                                                                                                                                        | 6,112,471            |             |                                                                                                                                         | Government National Mortgage Association II, 3.5%, 8/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 6,415,333                                                                                                                                                     |
|                                                                                                                                                                        | 3,612,011            |             |                                                                                                                                         | Government National Mortgage Association II, 4.0%, 10/20/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 3,850,726                                                                                                                                                     |
|                                                                                                                                                                        | 15,000,004           |             |                                                                                                                                         | Government National Mortgage Association II, 4.0%, 7/20/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 16,011,529                                                                                                                                                    |
|                                                                                                                                                                        | 425,000              |             |                                                                                                                                         | Government National Mortgage Association II, 4.0%, 9/20/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 453,172                                                                                                                                                       |
|                                                                                                                                                                        | 355,760              |             |                                                                                                                                         | Government National Mortgage Association II, 4.5%, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 385,139                                                                                                                                                       |
|                                                                                                                                                                        | 131,077              |             |                                                                                                                                         | Government National Mortgage Association II, 4.5%, 12/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 141,849                                                                                                                                                       |
|                                                                                                                                                                        | 65,325               |             |                                                                                                                                         | Government National Mortgage Association II, 4.5%, 3/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 70,817                                                                                                                                                        |
|                                                                                                                                                                        | 2,170,599            |             |                                                                                                                                         | Government National Mortgage Association II, 4.5%, 9/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,359,920                                                                                                                                                     |
|                                                                                                                                                                        | 316,207              |             |                                                                                                                                         | Government National Mortgage Association II, 5.5%, 10/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 331,968                                                                                                                                                       |
|                                                                                                                                                                        | 271,591              |             |                                                                                                                                         | Government National Mortgage Association II, 5.5%, 3/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 307,151                                                                                                                                                       |
|                                                                                                                                                                        | 241,221              |             |                                                                                                                                         | Government National Mortgage Association II, 5.5%, 4/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 272,061                                                                                                                                                       |
|                                                                                                                                                                        | 2,639                |             |                                                                                                                                         | Government National Mortgage Association II, 6.5%, 2/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,092                                                                                                                                                         |
|                                                                                                                                                                        | 1,156                |             |                                                                                                                                         | Government National Mortgage Association II, 6.5%, 3/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,371                                                                                                                                                         |
|                                                                                                                                                                        | 34,522               |             |                                                                                                                                         | Government National Mortgage Association II, 6.5%, 4/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 39,703                                                                                                                                                        |
|                                                                                                                                                                        | 86,424               |             |                                                                                                                                         | Government National Mortgage Association II, 7.0%, 1/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 102,212                                                                                                                                                       |
|                                                                                                                                                                        | 81,579               |             |                                                                                                                                         | Government National Mortgage Association II, 7.0%, 11/20/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 97,101                                                                                                                                                        |
|                                                                                                                                                                        | 2,480                |             |                                                                                                                                         | Government National Mortgage Association II, 7.0%, 12/20/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 3,051                                                                                                                                                         |
|                                                                                                                                                                        | 19,198               |             |                                                                                                                                         | Government National Mortgage Association, 6.5%, 3/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 22,013                                                                                                                                                        |
|                                                                                                                                                                        | 6,865,000            |             |                                                                                                                                         | U.S. Treasury Bonds, 4.375%, 11/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 8,809,010                                                                                                                                                     |
|                                                                                                                                                                        | 3,700,000            |             |                                                                                                                                         | U.S. Treasury Bonds, 4.375%, 5/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 4,748,621                                                                                                                                                     |
|                                                                                                                                                                        | 64,908,712           |             |                                                                                                                                         | U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 61,930,390                                                                                                                                                    |
|                                                                                                                                                                        | 60,630,843           |             |                                                                                                                                         | U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 52,579,127                                                                                                                                                    |
|                                                                                                                                                                        | 16,435,000           | 0.10             |                                                                                                                                         | U.S. Treasury Note, Floating Rate Note, 1/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 16,430,612                                                                                                                                                    |
|                                                                                                                                                                        | 16,395,000           | 0.09             |                                                                                                                                         | U.S. Treasury Note, Floating Rate Note, 4/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 16,383,589                                                                                                                                                    |
|                                                                                                                                                                        | 5,325,000            | 0.09             |                                                                                                                                         | U.S. Treasury Note, Floating Rate Note, 7/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 5,325,447                                                                                                                                                     |
|                                                                                                                                                                        | 4,400,000            |             |                                                                                                                                         | U.S. Treasury Notes, 2.0%, 2/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 4,382,814                                                                                                                                                     |
|                                                                                                                                                                        | 4,250,000            |             |                                                                                                                                         | U.S. Treasury Notes, 2.125%, 5/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 4,275,568                                                                                                                                                     |
|                                                                                                                                                                        | 48,000,000           | 0.09             |                                                                                                                                         | U.S. Treasury Note, Floating Rate Note, 7/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 47,950,560                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $927,763,048)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 933,486,800                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | FOREIGN GOVERNMENT BONDS - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,550,000            |             |                                                                                                                                         | Africa Finance Corp., 4.375%, 4/29/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 4,573,888                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL FOREIGN GOVERNMENT BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $4,509,107)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 4,573,888                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | MUNICIPAL BONDS - 2.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Airport - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Indianapolis Airport Authority, 5.1%, 1/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,054,090                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Development - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,925,000            |             |                                                                                                                                         | California Statewide Communities Development Authority, 6.0%, 8/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 3,452,933                                                                                                                                                     |
|                                                                                                                                                                        | 2,350,000            |             |                                                                                                                                         | Louisiana Local Government Environmental Facilities & Community Development Authority, 6.5%, 11/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 2,765,550 |
|                                                                                                                                                                        | 4,500,000            |             |                                                                                                                                         | New Jersey Economic Development Authority, 2/15/18 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 4,202,100                                                                                                                                                     |
|                                                                                                                                                                        | 2,560,000            |             |                                                                                                                                         | Parish of St. John the Baptist Louisiana, 5.125%, 6/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,604,800                                                                                                                                                     |
|                                                                                                                                                                        | 2,310,000            |             |                                                                                                                                         | Selma Industrial Development Board, 5.8%, 5/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 2,571,631                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 15,597,014                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Education - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 525,000              |             |                                                                                                                                         | Amherst College, 3.794%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 510,215                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal General - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 4,075,000            |             |                                                                                                                                         | JobsOhio Beverage System, 3.985%, 1/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 4,280,462                                                                                                                                                     |
|                                                                                                                                                                        | 1,035,000            |             |                                                                                                                                         | JobsOhio Beverage System, 4.532%, 1/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,093,291                                                                                                                                                     |
|                                                                                                                                                                        | 2,750,000            |             |                                                                                                                                         | New Jersey Transportation Trust Fund Authority, Transportation System-Series A, 5.5%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 2,868,608                                                                                                                                                     |
|                                                                                                                                                                        | 2,400,000            |             |                                                                                                                                         | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.0%, 11/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,742,912                                                                                                                                                     |
|                                                                                                                                                                        | 1,050,000            |             |                                                                                                                                         | Texas Municipal Gas Acquisition & Supply Corp. III, 5.0%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,144,636                                                                                                                                                     |
|                                                                                                                                                                        | 2,100,000            |             |                                                                                                                                         | Texas Municipal Gas Acquisition & Supply Corp. III, 5.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 2,278,143                                                                                                                                                     |
|                                                                                                                                                                        | 2,200,000            |             |                                                                                                                                         | Virginia Commonwealth Transportation Board, 4.0%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,341,922                                                                                                                                                     |
|                                                                                                                                                                        | 2,210,000            |             |                                                                                                                                         | Virginia Commonwealth Transportation Board, 4.0%, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,342,268                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 19,092,242                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Higher Municipal Education - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,025,000            |             |                                                                                                                                         | Baylor University, 4.313%, 3/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,049,139                                                                                                                                                     |
|                                                                                                                                                                        | 1,980,000            |             |                                                                                                                                         | California Educational Facilities Authority, 5.0%, 6/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,583,247                                                                                                                                                     |
|                                                                                                                                                                        | 1,425,000            |             |                                                                                                                                         | Massachusetts Health & Educational Facilities Authority, Massachusetts Institute of Technology -Series K, 5.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                         | 1,926,329 |
|                                                                                                                                                                        | 1,100,000            |             |                                                                                                                                         | Massachusetts Institute of Technology, 5.6%, 7/1/11                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,389,122                                                                                                                                                     |
|                                                                                                                                                                        | 3,100,000            |             |                                                                                                                                         | New Jersey Educational Facilities Authority, Princeton University Series D, 4.0%, 7/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,250,536                                                                                                                                                     |
|                                                                                                                                                                        | 800,000              |             |                                                                                                                                         | Permanent University Fund, 5.0%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 956,056                                                                                                                                                       |
|                                                                                                                                                                        | 3,095,000            |             |                                                                                                                                         | President and Fellows of Harvard College, 6.3%, 10/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 3,180,611                                                                                                                                                     |
|                                                                                                                                                                        | 1,900,000            |             |                                                                                                                                         | The George Washington University, 1.827%, 9/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,917,980                                                                                                                                                     |
|                                                                                                                                                                        | 525,000              |             |                                                                                                                                         | The University of Texas System, 5.0%, 8/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 595,355                                                                                                                                                       |
|                                                                                                                                                                        | 2,600,000            |             |                                                                                                                                         | University of California, 3.38%, 5/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,616,198                                                                                                                                                     |
|                                                                                                                                                                        | 3,100,000            |             |                                                                                                                                         | University of Virginia, Green Bond Series A, 5.0%, 4/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 3,598,201                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 23,062,774                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Medical - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 325,000              |             |                                                                                                                                         | Massachusetts Development Finance Agency, 5.25%, 4/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 372,508                                                                                                                                                       |
|                                                                                                                                                                        | 550,000              |             |                                                                                                                                         | Massachusetts Development Finance Agency, Broad Institute -Series A, 5.375%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 611,826                                                                                                                                                       |
|                                                                                                                                                                        | 1,765,000            |             |                                                                                                                                         | Ohio Higher Educational Facility Commission, 5.0%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,939,135                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,923,469                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Pollution - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,965,000            |             |                                                                                                                                         | Port Freeport Texas, 5.95%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 4,369,311                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal School District - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,700,000            |             |                                                                                                                                         | Frisco Independent School District, 4.0%, 8/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 2,811,402                                                                                                                                                     |
|                                                                                                                                                                        | 1,700,000            |             |                                                                                                                                         | Frisco Independent School District, 4.0%, 8/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,757,749                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,569,151                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Transportation - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 600,000              |             |                                                                                                                                         | Port Authority of New York & New Jersey, 4.458%, 10/1/62                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 579,816                                                                                                                                                       |
|                                                                                                                                                                        | 1,000,000            |             |                                                                                                                                         | Texas Transportation Commission State Highway Fund, 5.0%, 4/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,162,150                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,741,966                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Municipal Obligation - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,000,000            |             |                                                                                                                                         | State of Texas, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 3,112,620                                                                                                                                                     |
|                                                                                                                                                                        | 560,000              |             |                                                                                                                                         | State of Washington, 3.0%, 7/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 569,005                                                                                                                                                       |
|                                                                                                                                                                        | 1,600,000            |             |                                                                                                                                         | State of Washington, 5.0%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,886,544                                                                                                                                                     |
|                                                                                                                                                                        | 1,620,000            |             |                                                                                                                                         | Washington Suburban Sanitary Commission, 4.0%, 6/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,678,822                                                                                                                                                     |
|                                                                                                                                                                        | 1,565,000            |             |                                                                                                                                         | Washington Suburban Sanitary Commission, 4.0%, 6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,620,651                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 8,867,642                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $77,106,123)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 81,787,874                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | SENIOR FLOATING RATE LOAN INTERESTS - 2.9% **                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Energy - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Integrated Oil & Gas - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 432,788              | 4.50             |                                                                                                                                         | Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 431,706                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 431,706                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Materials - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Commodity Chemicals - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 762,913              | 4.25             |                                                                                                                                         | Tronox Pigments Holland BV, New Term Loan, 3/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 668,078                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Chemicals - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 193,641              | 4.25             |                                                                                                                                         | OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 188,074                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialty Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 154,286              | 3.50             |                                                                                                                                         | Chemtura Corp., New Term Loan, 8/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 154,254                                                                                                                                                       |
|                                                                                                                                                                        | 252,086              | 3.23             |                                                                                                                                         | Huntsman International LLC, Tranche B Term Loan (First Lien), 4/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 246,099                                                                                                                                                       |
|                                                                                                                                                                        | 909,199              | 4.50             |                                                                                                                                         | MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 882,491                                                                                                                                                       |
|                                                                                                                                                                        | 476,250              | 4.25             |                                                                                                                                         | OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 475,059                                                                                                                                                       |
|                                                                                                                                                                        | 238,145              | 2.75             |                                                                                                                                         | WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 236,955                                                                                                                                                       |
|                                                                                                                                                                        | 661,768              | 2.75             |                                                                                                                                         | WR Grace & Co-Conn, U.S. Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 658,459                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,653,317                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Construction Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,027,491            | 4.25             |                                                                                                                                         | CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,028,776                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Metal & Glass Containers - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 197,500              | 5.50             |                                                                                                                                         | BWay Intermediate, Initial Term Loan, 8/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 197,068                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Aluminum - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 698,250              | 4.00             |                                                                                                                                         | Novelis, Inc., Tranche B Term Loan (First Lien), 5/28/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 690,467                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Metals & Mining - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 415,944              | 3.75             |                                                                                                                                         | Fortescue Metals Group Ltd., Bank Loan, 6/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 342,114                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 5,767,894                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Capital Goods - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Aerospace & Defense - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,563,329            | 3.75             |                                                                                                                                         | DigitalGlobe, Inc., Term Loan, 1/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 2,554,903                                                                                                                                                     |
|                                                                                                                                                                        | 425,419              | 6.25             |                                                                                                                                         | DynCorp International, Inc., Term Loan, 7/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 416,556                                                                                                                                                       |
|                                                                                                                                                                        | 620,214              | 7.02             |                                                                                                                                         | TASC, Inc., First Lien Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 622,540                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,593,999                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Building Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,372,506            | 3.50             |                                                                                                                                         | Nortek, Inc., Tranche B Term Loan (First Lien), 10/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,362,212                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Industrial Conglomerates - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 105,624              | 4.25             |                                                                                                                                         | CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 105,756                                                                                                                                                       |
|                                                                                                                                                                        | 310,981              | 4.25             |                                                                                                                                         | CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 311,369                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 417,125                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Trading Companies & Distributors - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 590,405              | 3.75             |                                                                                                                                         | WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 590,959                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 5,964,295                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Commercial Services & Supplies - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Security & Alarm Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 202,238              | 4.00             |                                                                                                                                         | Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 199,394                                                                                                                                                       |
|                                                                                                                                                                        | 790,566              | 4.00             |                                                                                                                                         | Garda World Security Corp., Term B Loan, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 779,449                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 978,843                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 978,843                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Transportation - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Airlines - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 800,000              | 3.25             |                                                                                                                                         | Delta Air Lines, Inc., Tranche B Term Loan (First Lien), 8/24/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 800,600                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Marine - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 653,165              | 5.25             |                                                                                                                                         | Navios Maritime Partners LP, Term Loan, 6/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 652,962                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,453,562                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Automobiles & Components - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Auto Parts & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,128,560            | 3.50             |                                                                                                                                         | Allison Transmission, Inc., Term B-3 Loan, 8/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,130,676                                                                                                                                                     |
|                                                                                                                                                                        | 1,732,456            | 4.00             |                                                                                                                                         | Cooper Standard Intermediate Holdco 2 LLC, Term Loan, 3/28/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,724,660                                                                                                                                                     |
|                                                                                                                                                                        | 1,710,599            | 4.25             |                                                                                                                                         | Remy International, Inc., Term B Loan 2013, 3/5/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,711,668                                                                                                                                                     |
|                                                                                                                                                                        | 532,336              | 4.50             |                                                                                                                                         | TI Group Automotive Systems LLC, Tranche B Term Loan (First Lien), 6/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 523,464                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 5,090,468                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Tires & Rubber - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,491,667            | 3.75             |                                                                                                                                         | The Goodyear Tire & Rubber Co., Term Loan (Second Lien), 3/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,504,170                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Automobile Manufacturers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,748,613            | 3.50             |                                                                                                                                         | Chrysler Group LLC, Term Loan B, 5/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 3,742,551                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 12,337,189                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Durables & Apparel - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Apparel, Accessories & Luxury Goods - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 497,500              | 3.25             |                                                                                                                                         | Hanesbrands, Inc., Tranche B Term Loan (First Lien), 4/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 501,024                                                                                                                                                       |
|                                                                                                                                                                        | 376,269              | 3.25             |                                                                                                                                         | PVH Corp., Tranche B Term Loan, 12/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 378,488                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 879,512                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 879,512                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Consumer Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        | 344,590              | 3.75             |                                                                                                                                         | Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 344,867                                                                                                                                                       |
|                                                                                                                                                                        | 4,317,375            | 6.00             |                                                                                                                                         | Scientific Games, Initial Term B-2, 10/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 4,272,582                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 4,617,449                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Restaurants - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 363,392              | 3.75             |                                                                                                                                         | 1011778 BC ULC, Term B-2 Loan, 12/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 363,229                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 4,980,678                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Media - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Advertising - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,056,884            | 6.75             |                                                                                                                                         | Affinion Group, Inc., Tranche B Term Loan, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 998,094                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Broadcasting - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 2,247,965            | 4.00             |                                                                                                                                         | Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,231,418                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Cable & Satellite - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,685,000            | 0.00             |                                                                                                                                         | Charter Communications Operating LLC, First Lien Bridge Loan, 5/26/16 (g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 3,685,000                                                                                                                                                     |
|                                                                                                                                                                        | 1,686,188            | 3.00             |                                                                                                                                         | Charter Communications Operating LLC, Term F Loan, 1/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,667,368                                                                                                                                                     |
|                                                                                                                                                                        | 146,833              | 4.50             |                                                                                                                                         | WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 146,053                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 5,498,421                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Movies & Entertainment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 274,531              | 3.75             |                                                                                                                                         | Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 274,531                                                                                                                                                       |
|                                                                                                                                                                        | 1,396,500            | 3.50             |                                                                                                                                         | Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,397,443                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,671,974                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Publishing - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 741,165              | 4.75             |                                                                                                                                         | Interactive Data Corp., Tranche B Term Loan (First Lien), 4/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 740,609                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 11,140,516                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | General Merchandise Stores - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 666,667              | 3.50             |                                                                                                                                         | Dollar Tree, Inc., Tranche B-1 Term Loan (First Lien), 3/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 668,122                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialty Stores - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,925,000            | 3.50             |                                                                                                                                         | Staples, Inc., Tranche B Term Loan (First Lien), 4/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,920,303                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 2,588,425                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Food, Beverage & Tobacco - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Agricultural Products - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,236,175            | 3.25             |                                                                                                                                         | Darling International, Inc., Term B USD Loan, 12/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 1,236,948                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Packaged Foods & Meats - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 20,755               | 3.00             |                                                                                                                                         | Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 20,745                                                                                                                                                        |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,257,693                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,418,747            | 4.75             |                                                                                                                                         | Federal-Mogul Corporation, Tranche C Term, 4/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,353,130                                                                                                                                                     |
|                                                                                                                                                                        | 861,429              | 3.50             |                                                                                                                                         | NBTY, Inc., Term B-2 Loan, 10/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 857,768                                                                                                                                                       |
|                                                                                                                                                                        | 974,578              | 4.00             |                                                                                                                                         | Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 975,309                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,186,207                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 3,186,207                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Equipment & Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,983,599            | 4.50             |                                                                                                                                         | Kinetic Concepts, Inc., Term  DTL-E1 loan, 5/4/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,984,219                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Supplies - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,914,325            | 5.00             |                                                                                                                                         | Immucor, Inc., Term B-2 Loan, 8/19/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,906,348                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 185,149              | 6.50             |                                                                                                                                         | Ardent Legacy Acquisition, Inc., Tranche B Term Loan (First Lien), 7/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 185,612                                                                                                                                                       |
|                                                                                                                                                                        | 250,507              | 3.50             |                                                                                                                                         | DaVita HealthCare Partners, Inc., Tranche B Loan (First Lien), 6/19/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 250,864                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 436,476                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Facilities - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 591,173              | 3.57             |                                                                                                                                         | CHS, Incremental 2018 Term F Loans, 12/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 591,490                                                                                                                                                       |
|                                                                                                                                                                        | 1,117,078            | 3.08             |                                                                                                                                         | CHS, Incremental 2019 Term G Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,117,776                                                                                                                                                     |
|                                                                                                                                                                        | 2,055,394            | 4.00             |                                                                                                                                         | CHS, Incremental 2021 Term H Loan, 1/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,059,675                                                                                                                                                     |
|                                                                                                                                                                        | 732,942              | 3.03             |                                                                                                                                         | HCA, Inc., Tranche B-4 Term Loan, 5/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 733,449                                                                                                                                                       |
|                                                                                                                                                                        | 1,757,741            | 2.95             |                                                                                                                                         | HCA, Inc., Tranche B-5 Term Loan, 3/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,758,224                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 6,260,614                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Health Care Technology - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                          |
|                                                                                                                                                                        | 450,382              | 3.50             |                                                                                                                                         | IMS Health, Inc., Term B Dollar Loan, 3/17/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 448,926                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 11,036,583                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Pharmaceuticals, Biotechnology & Life Sciences - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Biotechnology - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 744,246              | 3.50             |                                                                                                                                         | Alkermes, Inc., 2019 Term Loan, 9/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 744,556                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Pharmaceuticals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        | 384,150              | 3.20             |                                                                                                                                         | Grifols Worldwide Operations USA, Inc., U.S. Tranche B Term Loam, 4/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 384,670                                                                                                                                                       |
|                                                                                                                                                                        | 1,644,431            | 3.50             |                                                                                                                                         | RPI Finance Trust, Term B-4 Term Loan, 11/9/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,643,403                                                                                                                                                     |
|                                                                                                                                                                        | 532,996              | 3.75             |                                                                                                                                         | Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 525,800                                                                                                                                                       |
|                                                                                                                                                                        | 995,000              | 4.00             |                                                                                                                                         | Valeant Pharmaceuticals, Series F-1,  3/11/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 986,035                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,539,908                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Life Sciences Tools & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,632,988            | 4.25             |                                                                                                                                         | Catalent Pharma Solutions, Dollar Term Loan, 5/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,636,324                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 5,920,788                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Diversified Financials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Other Diversified Financial Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 795,333              | 5.25             |                                                                                                                                         | WorldPay, Facility B2A Term Loan, 8/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 798,315                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Specialized Finance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,488,665            | 3.50             |                                                                                                                                         | Trans Union LLC, Tranche B-2 Term Loan (First Lien), 4/9/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,477,500                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 2,275,815                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Insurance - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Insurance Brokers - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,158,304            | 4.50             |                                                                                                                                         | National Financial Partners Corp., Tranche B Term Loan (First Lien), 7/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,142,378                                                                                                                                                     |
|                                                                                                                                                                        | 6,161,738            | 4.25             |                                                                                                                                         | USI Insurance Services LLC, Term B Loan, 12/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 6,118,094                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 7,260,472                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 7,260,472                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | IT Consulting & Other Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 953,650              | 3.95             |                                                                                                                                         | SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 954,718                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Application Software - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        | 367,918              | 2.95             |                                                                                                                                         | Nuance Communications, Inc., Term C Loan, 8/7/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 366,424                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Systems Software - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                          |
|                                                                                                                                                                        | 605,425              | 5.75             |                                                                                                                                         | AVG Technologies N.V., Term Loan, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 609,209                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Home Entertainment Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,146,608            | 3.25             |                                                                                                                                         | Activision Blizzard, Inc., Term Loan, 7/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,148,120                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 3,078,471                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Technology Hardware & Equipment - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Communications Equipment - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 342,733              | 3.25             |                                                                                                                                         | Commscope, Inc., Tranche 4 Term Loan, 1/14/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 342,517                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 342,517                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductors & Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,163,279            | 2.58             |                                                                                                                                         | Sensata Technologies, Inc., First Lien Term Loan, 10/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,163,599                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Semiconductors - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        | 323,562              | 3.75             |                                                                                                                                         | Avago Technologies Ltd., Tranche B Term Loan (First Lien), 4/16/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 323,734                                                                                                                                                       |
|                                                                                                                                                                        | 350,189              | 3.25             |                                                                                                                                         | Microsemi Corp., Term Loan (First Lien), 3/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 349,226                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 672,960                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,836,559                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Integrated Telecommunication Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,915,900            | 4.00             |                                                                                                                                         | Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,907,278                                                                                                                                                     |
|                                                                                                                                                                        | 1,208,925            | 4.00             |                                                                                                                                         | GCI Holdings, Inc., New Term B Loan, 2/2/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,217,236                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,124,514                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Wireless Telecommunication Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,488,636            | 3.00             |                                                                                                                                         | Crown Castle International Corp., Tranche B-2 Term Loan (First Lien), 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,486,823                                                                                                                                                     |
|                                                                                                                                                                        | 333,333              | 4.00             |                                                                                                                                         | Syniverse Holdings, Inc., Initial Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 306,667                                                                                                                                                       |
|                                                                                                                                                                        | 666,667              | 4.00             |                                                                                                                                         | Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 613,333                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,406,823                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 5,531,337                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Electric Utilities - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,285,660            | 3.75             |                                                                                                                                         | Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,286,062                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        | 1,015,989            | 4.00             |                                                                                                                                         | Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,015,899                                                                                                                                                     |
|                                                                                                                                                                        | 1,312,374            | 2.75             |                                                                                                                                         | NRG Energy, Inc., Term Loan (2013), 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,289,225                                                                                                                                                     |
|                                                                                                                                                                        | 744,215              | 3.75             |                                                                                                                                         | NSG Holdings LLC, New Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 738,633                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,043,757                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 4,329,819                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $92,074,014)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 92,578,881                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TEMPORARY CASH INVESTMENTS - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Commerical Papers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        | 8,070,000            |             |                                                                                                                                         | Mondelez International, Inc, Discount Note, 10/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 8,069,944                                                                                                                                                     |
|                                                                                                                                                                        | 2,875,000            |             |                                                                                                                                         | Societe Generale, Discount Note, 10/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,875,001                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Repurchase Agreements - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 10,944,945                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 3,120,000            |             |                                                                                                                                         | $3,120,000, Bank of Nova Scotia, 0.12%, dated 9/30/15 plus accrued interest on 10/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | collateralized by $3,182,411 Federal National Mortgage Association, 2.5% - 6.0%, 12/1/25 - 8/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 3,120,000                                                                                                                                                     |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | 10,510,000           |             |                                                                                                                                         | $10,510,000, RBC Capital Markets LLC, 0.10%, dated 9/30/15 plus accrued interest on 10/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | collateralized by the followings:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | $4,478,797, Federal Home Loan Mortgage Corp., 2.15% - 2.675%, 5/1/42 - 5/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | $3,132,737, Federal National Mortgage Association (ARM), 2.31% - 4.866%, 9/1/33 - 6/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | $3,108,666 Federal National Mortgage Association, 3.5% - 5.5%, 2/1/34 - 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 10,510,000                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 13,630,000                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL TEMPORARY CASH INVESTMENTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $24,575,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 24,574,945                                                                                                                                                    |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL INVESTMENT IN SECURITIES - 100.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | (Cost $3,226,083,085) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 3,228,769,719                                                                                                                                                 |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | OTHER ASSETS & LIABILITIES - (0.2)%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | (7,609,574)                                                                                                                                                   |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 3,221,160,145                                                                                                                                                 |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | †              |             |                                                                                                                                         | Rounds to less than 0.01%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | REIT                 |             |                                                                                                                                         | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (PIK)                |             |                                                                                                                                         | Represents a pay-in kind security.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (Perpetual)          |             | Security with no stated maturity date                                                                                                        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | ARM                  |             |                                                                                                                                         | Adjustable Rate Mortgage                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (Step)               |             |                                                                                                                                         | Bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | REMICS               |             |                                                                                                                                         | Real Estate Mortgage Investment Conduits.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | **                   |             |                                                                                                                                         | 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 U.S. banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (144A)               |             |                                                                                                                                         | Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration.  At September 30, 2015, the value of these securities amounted to $917,403,803 or 28.5% of total net assets.                                                                                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (Cat Bond)           |             | Catastrophe or Event Linked Bond. At September 30, 2015, the value of these securities amounted to $53,064,100, or 1.6% of total net assets. |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (a)                  |             |                                                                                                                                         | At  September 30, 2015, the net unrealized appreciation on investments based on                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | cost for federal income tax purposes of $3,230,686,224 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Aggregate gross unrealized appreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         |              45,133,720                                                                      |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Aggregate gross unrealized depreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |             (47,050,225)                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         | Net unrealized appreciation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         |               (1,916,505)                                                               |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (b)                  |             |                                                                                                                                         | Debt obligation with a variable interest rate. Rate shown is rate at end of period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (c)                  |             |                                                                                                                                         | Security represents the interest only portion of payments on a pool of underlying mortgages or mortgage-backed securities                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (d)                  |             |                                                                                                                                         | Security issued with a zero coupon. Income is earned through accretion of discount.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (e)                  |             |                                                                                                                                         | Security is in default and is non-income producing.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (f)                  |             |                                                                                                                                         | Structured reinsurance investment. At September 30, 2015, the value of these securities amounted to $48,945,454 or 1.5% of total net assets.                                                                                                                                                                                                                                                                                                                                                                                                                       |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
|                                                                                                                                                                        | (g)                  |             |                                                                                                                                         | Rate to be determined.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                          |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
| Various inputs are used in determining the value of the Fund's investments.  These inputs are summarized in the three broad levels listed below.                  |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
| Level 1 – quoted prices in active markets for identical securities                                                                                                    |                 |             |
| Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)                  |
| Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)                                             |                 |             |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
| Generally, equity securities are categorized as Level 1, fixed income securities and senior loans as Level 2 and securities valued                                          |                 |             |
| using fair value methods (other than prices supplied by independent pricing services or broker-dealers) as Level 3.  See Notes to Financial Statements - Note 1A. |
|                                                                                                                                                                        |                 |             |                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                          |
| The following is a summary of the inputs used as of September 30, 2015, in valuing the Fund's assets:                                                                       |                 |             |

----

|                                                                                     |   |   |                                                         |                                                                                                                                                                          | Level 1         |       |      | Level 2        |   |          | Level 3 |   |   | Total      |   |
|------------------------------------------------------------------------------------------|--------|--------|--------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------|------------|-----------|----------------|--------|---------------|---------|--------|--------|------------|--------|
|                                                                                     |   |   | Preferred Stocks                                             |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |
|                                                                                     |   |   |   Diversified Financials                           |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |
|                                                                                     |   |   |     Consumer Finance                     |                                                                                                                                                                          | $               | -          |      |           | $      | 1,260,195     |    |   | $      | -          |   |   | $ | 1,260,195 |   |
|                                                                                     |   |   |   All Other Preferred Stock                        |                                                                                                                                                                          |            | 18,065,412 |      |           |   | -             |    |   |   | -          |   |   |   | 18,065,412 |   |
|                                                                                     |   |   | Convertible Preferred Stock                                  |                                                                                                                                                                          |            | 6,552,480  |      |           |   | -             |    |   |   | -          |   |   |   | 6,552,480 |   |
|                                                                                     |   |   | Asset Backed Securities                                      |                                                                                                                                                                          |            | -          |      |           |   | 161,609,677   |    |   |   | -          |   |   |   | 161,609,677 |   |
|                                                                                     |   |   | Collateralized Mortgage Obligations                          |                                                                                                                                                                          |            | -          |      |           |   | 612,438,846   |    |   |   | -          |   |   |   | 612,438,846 |   |
|                                                                                     |   |   | Corporate Bonds                                              |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |
|                                                                                     |   |   |   Diversified Financials                           |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |
|                                                                                     |   |   |     Other Diversified Financial Services |                                                                                                                                                                          |            | -          |      |           |   | -             |    |   |   | 1,159,627  |   |   |   | 1,159,627 |   |
|                                                                                     |   |   |   Insurance                                        |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |
|                                                                                     |   |   |     Reinsurance                          |                                                                                                                                                                          |            | -          |      |           |   | 104,255,027   |    |   |   | 48,945,454 |   |   |   | 153,200,481 |   |
|                                                                                     |   |   |   All Other Corporate Bonds                        |                                                                                                                                                                          |            |       |      |           |   | 1,137,480,613 |    |   |   | -          |   |   |   | 1,137,480,613 |   |
|                                                                                     |   |   | U.S. Government and Agency Obligations                       |                                                                                                                                                                          |            | -          |      |           |   | 933,486,800   |    |   |   | -          |   |   |   | 933,486,800 |   |
|                                                                                     |   |   | Foreign Government Bond                                      |                                                                                                                                                                          |            |       |      |           |   | 4,573,888     |    |   |   | -          |   |   |   | 4,573,888 |   |
|                                                                                     |   |   | Municipal Bonds                                              |                                                                                                                                                                          |            | -          |      |           |   | 81,787,874    |    |   |   | -          |   |   |   | 81,787,874 |   |
|                                                                                     |   |   | Senior Floating Rate Loan Interests                          |                                                                                                                                                                          |            | -          |      |           |   | 92,578,881    |    |   |   | -          |   |   |   | 92,578,881 |   |
|                                                                                     |   |   | Commercial Papers                                            |                                                                                                                                                                          |            | -          |      |           |   | 10,944,945    |    |   |   | -          |   |   |   | 10,944,945 |   |
|                                                                                     |   |   | Repurchase Agreements                                        |                                                                                                                                                                          |            | -          |      |           |   | 13,630,000    |    |   |   | -          |   |   |   | 13,630,000 |   |
|                                                                                     |   |   | Total                                                        |                                                                                                                                                                          | $               | 24,617,892 |      |           | $      | 3,154,046,746 |    |   | $      | 50,105,081 |   |   | $ | 3,228,769,719 |   |
|                                                                                     |   |   |                                                         |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |
| Following is a reconciliation of assets using significant unobservable inputs (Level 3): |   |   |                                                         |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |
|                                                                                     |   |   |                                                         |                                                                                                                                                                          | PreferredStocks |       |      | CorporateBonds |   |          | Total   |   |   |       |   |   |
|                                                                                     |   |   | Balance as of 6/30/15                                        |                                                                                                                                                                          | $               | 36,000     |      |           | $      | 45,277,300    |    |   | $      | 45,313,300 |   |   |   |   |   |
|                                                                                     |   |   | Realized gain (loss)1                                        |                                                                                                                                                                          |            | -          |      |           |   | 1,577         |    |   |   | 1,577      |   |   |   |   |   |
|                                                                                     |   |   | Change in unrealized appreciation (depreciation)2            |                                                                                                                                                                          |            | -          |      |           |   | 1,521,156     |    |   |   | 1,521,156  |   |   |   |   |   |
|                                                                                     |   |   | Net purchases                                                |                                                                                                                                                                          |            | -          |      |           |   | 5,569,048     |    |   |   | 5,569,048  |   |   |   |   |   |
|                                                                                     |   |   | Net sales                                                    |                                                                                                                                                                          |            | -          |      |           |   | (2,300,000    | )       |   |   | (2,300,000 | )      |   |   |   |   |
|                                                                                     |   |   | Transfers in to Level 3*                                     |                                                                                                                                                                          |            | -          |      |           |   | -             |    |   |   | -          |   |   |   |   |   |
|                                                                                     |   |   | Transfers out of Level 3*                                    |                                                                                                                                                                          |            | -          |      |           |   | -             |    |   |   | -          |   |   |   |   |   |
|                                                                                     |   |   | Transfers in and out of Level 3 activity                     |                                                                                                                                                                          |            | (36,000    | )         |           |   | 36,000        |    |   |   | -          |   |   |   |   |   |
|                                                                                     |   |   | Balance as of 9/30/15                                        |                                                                                                                                                                          | $               | -          |      |           | $      | 50,105,081    |    |   | $      | 50,105,081 |   |   |   |   |   |
|                                                                                     |   |   |                                                         |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |
|                                                                                     |   | 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 September 30, 2015, there were no transfers between Levels 1, 2 and 3.                                                                                |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |   |
|                                                                                     |   |   |                                                         |                                                                                                                                                                          |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |   |
|                                                                                     |   |   |                                                         | Net change in unrealized appreciation (depreciation) of investments                                                                                                           |            |       |      |           |   |          |    |   |   |       |   |   |   |   |   |   |
|                                                                                     |   |   |                                                         | still held as of 9/30/15                                                                                                                                                      |            | $          | 1,521,156 |           |   |          |    |   |   |       |   |   |   |   |   |   |