```

                                                             OMB APPROVAL
                                                     OMB Number:       3235-0578
                                                     Expires:  January 31, 2016
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                                                     hours per response.....
                                                     10.5

                                 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 811-09223

                         Pioneer Strategic Income Fund
               (Exact name of registrant as specified in charter)

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

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

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

Date of fiscal year end:   September 30

Date of reporting period:  December 31, 2015

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

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

<PAGE>
ITEM 1. Schedule of Investments.

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

```

```

|   |                 |             |                                                                                                                                      | Pioneer Strategic Income Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|--------|----------------------|------------------|-------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|-------------------------------------------------------------------------------|
|   |                 |             |                                                                                                                                      | Schedule of Investments 12/31/15 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | Principal Amount ($) | FloatingRate (b) |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | Value      |
|   |                 |             |                                                                                                                                      | CONVERTIBLE CORPORATE BONDS - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      | Energy - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Integrated Oil & Gas - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 4,700,850            |             |                                                                                                                                      | American Energy - Utica LLC, 3.5% (3.50% Cash, 0.00% PIK), 3/1/21 (144A) (PIK)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 47,008                                                                        |
|   |                 |             |                                                                                                                                      | Oil & Gas Exploration & Production - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 4,170,000            |             |                                                                                                                                      | Cobalt International Energy, Inc., 2.625%, 12/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,337,806                                                                     |
|   | 1,526,000            |             |                                                                                                                                      | SandRidge Energy, Inc., 8.125%, 10/16/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 292,801                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,630,607                                                                     |
|   |                 |             |                                                                                                                                      | Oil & Gas Storage & Transportation - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 1,700,000            |             |                                                                                                                                      | Golar LNG, Ltd., 3.75%, 3/7/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,501,780                                                                     |
|   |                 |             |                                                                                                                                      | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 4,179,395                                                                     |
|   |                 |             |                                                                                                                                      | Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified Metals & Mining - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 7,900,000            |             |                                                                                                                                      | Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 6,399,000                                                                     |
|   |                 |             |                                                                                                                                      | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 6,399,000                                                                     |
|   |                 |             |                                                                                                                                      | Capital Goods - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Construction & Engineering - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 2,870,000            |             |                                                                                                                                      | Dycom Industries, Inc., 0.75%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 2,819,775                                                                     |
|   |                 |             |                                                                                                                                      | Electrical Components & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 13,776,000           |             |                                                                                                                                      | General Cable Corp., 4.5%, 11/15/29 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 8,446,410                                                                     |
|   | 1,984,000            |             |                                                                                                                                      | SolarCity Corp., 1.625%, 11/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 1,602,080                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 10,048,490                                                                    |
|   |                 |             |                                                                                                                                      | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 12,868,265                                                                    |
|   |                 |             |                                                                                                                                      | Consumer Durables & Apparel - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | Homebuilding - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 6,805,000            |             |                                                                                                                                      | CalAtlantic Group, Inc., 0.25%, 6/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 6,086,222                                                                     |
|   | 6,735,000            |             |                                                                                                                                      | CalAtlantic Group, Inc., 1.25%, 8/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 7,475,850                                                                     |
|   | 7,875,000            |             |                                                                                                                                      | KB Home, 1.375%, 2/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 7,043,203                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 20,605,275                                                                    |
|   |                 |             |                                                                                                                                      | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 20,605,275                                                                    |
|   |                 |             |                                                                                                                                      | Pharmaceuticals, Biotechnology & Life Sciences - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | Biotechnology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 4,865,000            |             |                                                                                                                                      | Cepheid, 1.25%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 4,326,809                                                                     |
|   |                 |             |                                                                                                                                      | Pharmaceuticals - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 2,060,000            |             |                                                                                                                                      | Impax Laboratories, Inc., 2.0%, 6/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 2,018,800                                                                     |
|   | 885,000              |             |                                                                                                                                      | The Medicines Co., 2.5%, 1/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,121,738                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,140,538                                                                     |
|   |                 |             |                                                                                                                                      | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 7,467,347                                                                     |
|   |                 |             |                                                                                                                                      | Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   |                 |             |                                                                                                                                      | Internet Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 5,480,000            |             |                                                                                                                                      | WebMD Health Corp., 2.5%, 1/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 5,637,550                                                                     |
|   |                 |             |                                                                                                                                      | Data Processing & Outsourced Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 2,585,000            |             |                                                                                                                                      | Cardtronics, Inc., 1.0%, 12/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 2,399,203                                                                     |
|   |                 |             |                                                                                                                                      | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 8,036,753                                                                     |
|   |                 |             |                                                                                                                                      | Technology Hardware & Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   |                 |             |                                                                                                                                      | Communications Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 7,290,000            |             |                                                                                                                                      | Finisar Corp., 0.5%, 12/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 6,770,588                                                                     |
|   |                 |             |                                                                                                                                      | Electronic Components - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 13,410,000           |             |                                                                                                                                      | Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 10,250,269                                                                    |
|   |                 |             |                                                                                                                                      | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 17,020,857                                                                    |
|   |                 |             |                                                                                                                                      | Semiconductors & Semiconductor Equipment - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Semiconductors - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 1,996,566            |             |                                                                                                                                      | LDK Solar Co, Ltd., 5.535%, 12/31/18, (5.535% cash, 5.535% PIK) (PIK)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 299,485                                                                       |
|   |                 |             |                                                                                                                                      | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 299,485                                                                       |
|   |                 |             |                                                                                                                                      | TOTAL CONVERTIBLE CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $91,893,814)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 76,876,377                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | Shares               |             |                                                                                                                                      | PREFERRED STOCKS - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   |                 |             |                                                                                                                                      | Transportation - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | Air Freight & Logistics - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 2,313                |             |                                                                                                                                      | CEVA Group Plc, 12/31/14 * (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,041,052                                                                     |
|   |                 |             |                                                                                                                                      | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,041,052                                                                     |
|   |                 |             |                                                                                                                                      | Banks - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified Banks - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 170,644              | 6.69             |                                                                                                                                      | Citigroup Capital XIII, Floating Rate Note, 10/30/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,435,038                                                                     |
|   | 558,945              | 7.12             |                                                                                                                                      | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 15,656,049                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 20,091,087                                                                    |
|   |                 |             |                                                                                                                                      | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 20,091,087                                                                    |
|   |                 |             |                                                                                                                                      | Diversified Financials - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Consumer Finance - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 465,150              | 8.12             |                                                                                                                                      | GMAC Capital Trust I, Floating Rate Note, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 11,796,204                                                                    |
|   |                 |             |                                                                                                                                      | Asset Management & Custody Banks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 236,600              | 5.90             |                                                                                                                                      | State Street Corp., Floating Rate Note, 12/31/73                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 6,549,088                                                                     |
|   |                 |             |                                                                                                                                      | Investment Banking & Brokerage - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 189,157              | 6.38             |                                                                                                                                      | Morgan Stanley, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 5,020,227                                                                     |
|   |                 |             |                                                                                                                                      | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 23,365,519                                                                    |
|   |                 |             |                                                                                                                                      | Insurance - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Reinsurance - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 57,000               |             |                                                                                                                                      | Lorenz Re, Ltd., Variable Rate Notes, (Perpetual) * (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 142,500                                                                       |
|   |                 |             |                                                                                                                                      | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 142,500                                                                       |
|   |                 |             |                                                                                                                                      | Real Estate - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 3,250                |             |                                                                                                                                      | Firstar Realty LLC, 8.875% (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 4,012,734                                                                     |
|   |                 |             |                                                                                                                                      | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 4,012,734                                                                     |
|   |                 |             |                                                                                                                                      | Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Integrated Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 572,600              |             |                                                                                                                                      | Qwest Corp., 7.375%, 6/1/51                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 14,561,218                                                                    |
|   |                 |             |                                                                                                                                      | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 14,561,218                                                                    |
|   |                 |             |                                                                                                                                      | TOTAL PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $60,663,442)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 63,214,110                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | CONVERTIBLE PREFERRED STOCKS - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Banks - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified Banks - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 5,330                |             |                                                                                                                                      | Bank of America Corp., 7.25% (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 5,827,129                                                                     |
|   | 31,527               |             |                                                                                                                                      | Wells Fargo & Co., 7.5% (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 36,665,428                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 42,492,557                                                                    |
|   |                 |             |                                                                                                                                      | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 42,492,557                                                                    |
|   |                 |             |                                                                                                                                      | TOTAL CONVERTIBLE PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $40,763,302)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 42,492,557                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | COMMON STOCKS - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Capital Goods - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      | Construction & Engineering - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 269,588              |             |                                                                                                                                      | Newhall Land Development LLC *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 831,275                                                                       |
|   |                 |             |                                                                                                                                      | Industrial Machinery - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 185,819              |             |                                                                                                                                      | Liberty Tire Recycling LLC (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,858                                                                         |
|   |                 |             |                                                                                                                                      | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 833,133                                                                       |
|   |                 |             |                                                                                                                                      | Transportation - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | Air Freight & Logistics - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,069                |             |                                                                                                                                      | CEVA Group Plc *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 480,915                                                                       |
|   |                 |             |                                                                                                                                      | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 480,915                                                                       |
|   |                 |             |                                                                                                                                      | Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   |                 |             |                                                                                                                                      | Education Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 90,687               |             |                                                                                                                                      | Cengage Learning Holdings II, Inc.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,131,598                                                                     |
|   |                 |             |                                                                                                                                      | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 2,131,598                                                                     |
|   |                 |             |                                                                                                                                      | Insurance - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Life & Health Insurance - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
| GBP    | 217,467              |             |                                                                                                                                      | TopCo. Ltd. (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 51,273                                                                        |
|   |                 |             |                                                                                                                                      | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 51,273                                                                        |
|   |                 |             |                                                                                                                                      | Semiconductors & Semiconductor Equipment - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Semiconductors - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 136,114              |             |                                                                                                                                      | LDK Solar Co, Ltd. (A.D.R.) *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 7,622                                                                         |
|   |                 |             |                                                                                                                                      | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 7,622                                                                         |
|   |                 |             |                                                                                                                                      | TOTAL COMMON STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $4,720,999)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 3,504,541                                                                     |
|   | Principal Amount ($) | FloatingRate (b) |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |
|   |                 |             |                                                                                                                                      | ASSET BACKED SECURITIES - 5.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 2,430,080            | 0.57             |                                                                                                                                      | Accredited Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,401,930                                                                     |
|   | 4,808,850            | 0.74             |                                                                                                                                      | Adjustable Rate Mortgage Trust 2005-9, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 4,242,855  |
|   | 1,800,000            |             |                                                                                                                                      | American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,816,603  |
|   | 2,435,000            | 1.68             |                                                                                                                                      | American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 2,372,153  |
|   | 2,500,000            |             |                                                                                                                                      | American Homes 4 Rent 2014-SFR2 Trust, 5.149%, 10/17/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 2,494,090  |
|   | 5,000,000            |             |                                                                                                                                      | American Homes 4 Rent 2014-SFR3 Trust, 4.596%, 12/18/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 4,855,650  |
|   | 6,100,000            |             |                                                                                                                                      | American Homes 4 Rent 2014-SFR3 Trust, 5.04%, 12/18/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 6,032,388  |
|   | 2,950,000            |             |                                                                                                                                      | American Homes 4 Rent 2015-SFR1, 4.11%, 4/18/52 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,751,859                                                                     |
|   | 10,363,000           |             |                                                                                                                                      | Applebee's Funding LLC/ IHOP Funding LLC, 4.277%, 9/5/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 10,494,030 |
|   | 800,000              |             |                                                                                                                                      | Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 806,509    |
|   | 1,399,981            |             |                                                                                                                                      | Axis Equipment Finance Receivables III LLC, 4.05%, 5/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 1,394,590  |
|   | 1,054,000            | 4.83             |                                                                                                                                      | B2R Mortgage Trust 2015-1, Floating Rate Note, 5/15/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 982,180    |
|   | 1,027,916            | 3.72             |                                                                                                                                      | Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,026,817  |
|   | 2,136,016            |             |                                                                                                                                      | Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 2,144,547  |
|   | 622,661              |             |                                                                                                                                      | Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 617,618    |
|   | 4,182,054            | 1.32             |                                                                                                                                      | Bear Stearns ALT-A Trust 2004-10, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 3,495,349  |
|   | 8,350,000            | 1.17             |                                                                                                                                      | Bear Stearns ALT-A Trust 2005-1, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 7,046,521                                                                     |
|   | 2,036,816            |             |                                                                                                                                      | BXG Receivables Note Trust 2015-A, 3.47%, 5/2/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 2,001,653                                                                     |
|   | 3,026,000            |             |                                                                                                                                      | California Republic Auto Receivables Trust 2012-1, 3.0%, 1/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 3,053,702  |
|   | 3,165,000            |             |                                                                                                                                      | Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 3,155,843                                                                     |
|   | 11,000,000           |             |                                                                                                                                      | Capital Automotive Real Estate Investment Trust, 3.66%, 10/17/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 11,052,064 |
|   | 9,906                | 0.82             |                                                                                                                                      | Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 9,894      |
|   | 5,595,000            |             |                                                                                                                                      | Citicorp Residential Mortgage Trust Series 2006-2, 5.918%, 9/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 5,329,803  |
|   | 5,893,000            |             |                                                                                                                                      | Citicorp Residential Mortgage Trust Series 2007-1, 5.82102%, 3/25/37 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 5,147,508  |
|   | 17,120,399           |             |                                                                                                                                      | CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 17,022,530                                                                    |
|   | 5,789,465            |             |                                                                                                                                      | Colony American Finance 2015-1, Ltd., 2.896%, 10/17/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 5,697,093  |
|   | 1,045,549            |             |                                                                                                                                      | Conn's Receivables Funding 2015-A LLC, 4.565%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 1,045,549  |
|   | 151,732              | 6.24             |                                                                                                                                      | Conseco Financial Corp., Floating Rate Note, 12/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 155,735                                                                       |
|   | 1,514,457            |             |                                                                                                                                      | Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 1,514,228  |
|   | 366,716              | 0.67             |                                                                                                                                      | Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 364,916    |
|   | 1,737,286            | 0.60             |                                                                                                                                      | Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,704,639  |
|   | 1,254,315            | 4.75             |                                                                                                                                      | Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,279,291  |
|   | 50,564               | 0.61             |                                                                                                                                      | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 49,592     |
|   | 1,235,771            | 0.51             |                                                                                                                                      | Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 4/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 1,055,081  |
|   | 11,910,000           |             |                                                                                                                                      | DB Master Finance LLC 2015-1, 3.98%, 2/21/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 11,873,536                                                                    |
|   | 9,500,000            |             |                                                                                                                                      | Domino's Pizza Master Issuer LLC, 3.484%, 10/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 9,310,000                                                                     |
|   | 8,696,865            |             |                                                                                                                                      | Domino's Pizza Master Issuer LLC, 5.216%, 1/27/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 8,945,870                                                                     |
|   | 2,612,045            | 3.17             |                                                                                                                                      | Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,642,890                                                                     |
|   | 3,000,978            | 1.32             |                                                                                                                                      | Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 2,969,144  |
|   | 1,200,000            |             |                                                                                                                                      | Engs Commercial Finance Trust 2015-1, 4.5%, 12/22/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,196,370  |
|   | 3,000,000            |             |                                                                                                                                      | Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 3,004,105  |
|   | 500,000              |             |                                                                                                                                      | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 497,297    |
|   | 1,600,000            |             |                                                                                                                                      | First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,592,110  |
|   | 177,804              |             |                                                                                                                                      | First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 177,639    |
|   | 1,551,063            |             |                                                                                                                                      | GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,536,702                                                                     |
|   | 2,951,521            |             |                                                                                                                                      | GLC Trust 2013-1, 3.0%, 7/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,914,627                                                                     |
|   | 4,221,963            |             |                                                                                                                                      | GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 4,265,432                                                                     |
|   | 1,743,348            |             |                                                                                                                                      | Gold Key Resorts 2014-A LLC, 5.87%, 5/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 1,716,021                                                                     |
|   | 468,510              | 0.56             |                                                                                                                                      | GreenPoint Home Equity Loan Trust 2004-2, Floating Rate Note, 1/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 442,342    |
|   | 1,501,382            | 0.79             |                                                                                                                                      | GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,384,524  |
|   | 257,449              | 0.72             |                                                                                                                                      | GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 255,386                                                                       |
|   | 13,455,000           |             |                                                                                                                                      | HOA Funding LLC, 4.846%, 8/22/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 12,231,015                                                                    |
|   | 1,120,582            | 0.59             |                                                                                                                                      | Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 1,104,233                                                                     |
|   | 161,193              | 1.60             |                                                                                                                                      | HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 160,677    |
|   | 5,863,192            |             |                                                                                                                                      | Icon Brand Holdings LLC, 4.229%, 1/26/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 5,413,959                                                                     |
|   | 1,825,779            |             |                                                                                                                                      | JG Wentworth XXII LLC, 3.82%, 12/15/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,870,871                                                                     |
|   | 324,114              | 0.57             |                                                                                                                                      | JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 322,521    |
|   | 1,200,000            |             |                                                                                                                                      | Leaf Receivables Funding 10 LLC, 2.74%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,176,533                                                                     |
|   | 1,600,000            |             |                                                                                                                                      | Leaf Receivables Funding 10 LLC, 3.74%, 5/17/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,556,110                                                                     |
|   | 3,139,702            |             |                                                                                                                                      | Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 3,144,914                                                                     |
|   | 2,141,566            |             |                                                                                                                                      | Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 2,151,078                                                                     |
|   | 3,010,000            |             |                                                                                                                                      | LEAF Receivables Funding 9 LLC, 5.11%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 3,059,049                                                                     |
|   | 556,475              |             |                                                                                                                                      | Lehman ABS Manufactured Housing Contract Trust 2001-B, 5.873%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 584,126    |
|   | 1,991,497            |             |                                                                                                                                      | Mid-State Capital Trust 2010-1, 5.25%, 12/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,078,575                                                                     |
|   | 1,494,105            | 1.92             |                                                                                                                                      | MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 1,337,168                                                                     |
|   | 3,606,257            |             |                                                                                                                                      | Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 3,598,973  |
|   | 824,285              | 0.57             |                                                                                                                                      | Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 809,156    |
|   | 1,992,574            |             |                                                                                                                                      | Newstar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,983,376  |
|   | 1,150,000            |             |                                                                                                                                      | NextGear Floorplan Master Owner Trust, 2.61%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 1,130,727  |
|   | 3,700,000            |             |                                                                                                                                      | OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 3,677,060  |
|   | 1,637,666            | 5.91             |                                                                                                                                      | Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,705,535  |
|   | 1,320,570            | 5.46             |                                                                                                                                      | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 1,337,124  |
|   | 525,346              | 5.73             |                                                                                                                                      | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 544,453    |
|   | 5,400,000            |             |                                                                                                                                      | Oxford Finance Funding Trust 2014-1, 3.475%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 5,372,676  |
|   | 4,000,000            |             |                                                                                                                                      | Progreso Receivables Funding LLC, 3.0%, 7/8/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 3,954,133                                                                     |
|   | 2,500,000            |             |                                                                                                                                      | Progress Residential 2015-SFR2 Trust, 3.684%, 6/14/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 2,394,641  |
|   | 1,098,516            |             |                                                                                                                                      | RAMP Series 2004-RS1 Trust, 5.665%, 1/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 997,274                                                                       |
|   | 3,357,852            | 5.28             |                                                                                                                                      | Residential Funding Mortgage Securities, Inc. Series 04-RS10, Floating Rate Notes, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 3,451,457  |
|   | 3,754,947            |             |                                                                                                                                      | RMAT 2015-1 LLC, 4.09%, 7/27/20 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,728,661                                                                     |
|   | 2,775,431            |             |                                                                                                                                      | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,789,451                                                                     |
|   | 1,365,618            | 6.55             |                                                                                                                                      | Security National Mortgage Loan Trust 2007-1, Floating Rate Note, 4/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 1,368,901  |
|   | 678,224              |             |                                                                                                                                      | Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 674,388    |
|   | 3,300,000            | 2.38             |                                                                                                                                      | Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 3,205,701  |
|   | 2,031,544            |             |                                                                                                                                      | Skopos Auto Receivables Trust 2015-1, 3.1%, 12/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,022,462                                                                     |
|   | 11,000,000           |             |                                                                                                                                      | Spirit Master Funding LLC, 4.6291%, 1/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 11,209,038                                                                    |
|   | 1,248,034            |             |                                                                                                                                      | Spirit Master Funding LLC, 5.74%, 3/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 1,330,160                                                                     |
|   | 1,000,000            |             |                                                                                                                                      | Spirit Master Funding VII LLC, 3.8868%, 12/21/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,019,822                                                                     |
|   | 5,000,000            |             |                                                                                                                                      | Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 4,985,798                                                                     |
|   | 6,478,333            |             |                                                                                                                                      | Store Master Funding I LLC, 3.75%, 4/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 6,427,257                                                                     |
|   | 1,051,316            |             |                                                                                                                                      | STORE Master Funding LLC, 4.16%, 3/20/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 1,076,264                                                                     |
|   | 163,694              |             |                                                                                                                                      | STORE Master Funding LLC, 4.21%, 4/20/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 167,357                                                                       |
|   | 1,275,359            | 0.62             |                                                                                                                                      | Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 1,250,298  |
|   | 322,551              | 0.55             |                                                                                                                                      | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 321,240    |
|   | 573,030              |             |                                                                                                                                      | Tidewater Auto Receivables Trust 2012-A, 2.83%, 10/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 573,092                                                                       |
|   | 2,610,000            | 5.29             |                                                                                                                                      | Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 2,610,000                                                                     |
|   | 2,527,473            | 2.12             |                                                                                                                                      | Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 2,477,039  |
|   | 71,813               | 7.00             |                                                                                                                                      | UCFC Manufactured Housing Contract, Floating Rate Note, 4/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 71,967     |
|   | 3,956,154            |             |                                                                                                                                      | US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 3,930,451  |
|   | 2,135,784            |             |                                                                                                                                      | VOLT XIX LLC, 3.875%, 4/26/55 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 2,126,007                                                                     |
|   | 3,519,111            |             |                                                                                                                                      | VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,467,718                                                                     |
|   | 2,997,080            |             |                                                                                                                                      | VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,944,702                                                                     |
|   | 5,921,849            |             |                                                                                                                                      | VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 5,837,695                                                                     |
|   | 1,197,892            |             |                                                                                                                                      | Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 1,197,102                                                                     |
|   | 399,297              |             |                                                                                                                                      | Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 398,775                                                                       |
|   | 3,309,293            |             |                                                                                                                                      | Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 3,250,718                                                                     |
|   | 6,221,471            |             |                                                                                                                                      | Westgate Resorts 2014-1 LLC, 3.25%, 12/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 6,140,591                                                                     |
|   | 5,456,064            |             |                                                                                                                                      | Westgate Resorts 2015-1 LLC, 2.75%, 5/20/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 5,398,049                                                                     |
|   | 423,824              |             |                                                                                                                                      | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 423,759                                                                       |
|   | 4,847,834            | 3.50             |                                                                                                                                      | WinWater Mortgage Loan Trust 2015-5, Floating Rate Note, 8/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 4,844,048  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 323,754,730                                                                   |
|   |                 |             |                                                                                                                                      | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $326,747,167)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 323,754,730                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | COLLATERALIZED MORTGAGE OBLIGATIONS - 11.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 11,749,522           | 3.50             |                                                                                                                                      | Agate Bay Mortgage Trust 2015-1, Floating Rate Note, 1/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 11,733,002                                                                    |
|   | 7,584,497            | 3.50             |                                                                                                                                      | Agate Bay Mortgage Trust 2015-5, Floating Rate Note, 7/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 7,631,301  |
|   | 2,565,418            |             |                                                                                                                                      | Alternative Loan Trust 2003-16T1, 5.25%, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 2,701,101                                                                     |
|   | 4,732,091            |             |                                                                                                                                      | Alternative Loan Trust 2003-21T1, 5.75%, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 4,819,575                                                                     |
|   | 6,900,000            | 1.38             |                                                                                                                                      | Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 6,287,780                                                                     |
|   | 2,532,319            |             |                                                                                                                                      | Banc of America Alternative Loan Trust 2003-2, 5.75%, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 2,622,286  |
|   | 1,527,243            |             |                                                                                                                                      | Banc of America Alternative Loan Trust 2004-10, 6.0%, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,541,479  |
|   | 168,941              |             |                                                                                                                                      | Banc of America Alternative Loan Trust 2004-3, 5.0%, 4/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 160,520                                                                       |
|   | 2,455,371            | 2.87             |                                                                                                                                      | Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 2,414,525  |
|   | 2,103,424            |             |                                                                                                                                      | Banc of America Mortgage Trust 2004-11, 5.75%, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,149,253                                                                     |
|   | 7,648,616            | 1.35             |                                                                                                                                      | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 6,446,580  |
|   | 7,373,000            | 1.17             |                                                                                                                                      | Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,358,224                                                                     |
|   | 1,805,516            | 2.73             |                                                                                                                                      | Bear Stearns ARM Trust 2003-6, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,790,412                                                                     |
|   | 3,751,072            | 2.76             |                                                                                                                                      | Bear Stearns ARM Trust 2003-9, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,277,091                                                                     |
|   | 815,013              | 3.17             |                                                                                                                                      | Bear Stearns ARM Trust 2004-12, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 808,194                                                                       |
|   | 15,021               | 3.03             |                                                                                                                                      | CHL Mortgage Pass-Through Trust 2003-42, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 14,140     |
|   | 1,650,520            | 2.24             |                                                                                                                                      | CIM Trust 2015-4AG, Floating Rate Note, 11/25/57 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,623,591                                                                     |
|   | 9,286,109            | 3.75             |                                                                                                                                      | Citigroup Mortgage Loan Trust 2015-PS1, Floating Rate Note, 9/25/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 9,434,687  |
|   | 3,733,520            |             |                                                                                                                                      | Citigroup Mortgage Loan Trust, Inc., 5.5%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 4,013,864                                                                     |
|   | 63,163               |             |                                                                                                                                      | Citigroup Mortgage Loan Trust, Inc., 6.75%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 66,829                                                                        |
|   | 4,500,000            | 4.65             |                                                                                                                                      | City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 4,522,165  |
|   | 3,500,000            |             |                                                                                                                                      | COMM 2006-C8 Mortgage Trust, 5.377%, 12/10/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,472,259                                                                     |
|   | 1,900,000            |             |                                                                                                                                      | COMM 2012-CCRE2 Mortgage Trust REMICS, 3.791%, 8/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 1,959,527  |
|   | 3,650,000            |             |                                                                                                                                      | COMM 2012-CCRE2 Mortgage Trust, 3.147%, 8/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 3,683,892                                                                     |
|   | 1,275,000            |             |                                                                                                                                      | COMM 2012-CCRE2 Mortgage Trust, 4.393%, 8/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 1,346,082                                                                     |
|   | 4,047,000            |             |                                                                                                                                      | COMM 2012-CCRE4 Mortgage Trust, 2.436%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 4,027,582                                                                     |
|   | 2,365,416            |             |                                                                                                                                      | COMM 2012-CCRE4 Mortgage Trust, 3.251%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 2,361,327                                                                     |
|   | 1,550,000            | 4.93             |                                                                                                                                      | COMM 2012-LC4 Mortgage Trust, Floating Rate Note, 12/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 1,676,597  |
|   | 8,000,000            |             |                                                                                                                                      | COMM 2013-LC6 Mortgage Trust, 2.941%, 1/12/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 7,956,626                                                                     |
|   | 3,161,098            | 2.28             |                                                                                                                                      | COMM 2014-FL4 Mortgage Trust, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 3,124,911  |
|   | 7,500,000            | 3.81             |                                                                                                                                      | COMM 2015-CCRE23 Mortgage Trust, Floating Rate Note, 5/12/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 6,945,602  |
|   | 5,600,000            |             |                                                                                                                                      | Commercial Mortgage Pass Through Certificates, 2.822%, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 5,536,391  |
|   | 353,956              |             |                                                                                                                                      | Credit Suisse First Boston Mortgage Securities Corp., 5.0%, 8/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 353,056    |
|   | 5,590,271            | 3.30             |                                                                                                                                      | CSMC Trust 2013-6, Floating Rate Note, 8/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 5,357,374                                                                     |
|   | 3,200,000            | 1.88             |                                                                                                                                      | CSMC Trust 2014-ICE REMICS, Floating Rate Note, 4/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 3,164,945  |
|   | 6,592,328            | 3.50             |                                                                                                                                      | CSMC Trust 2014-IVR3 REMICS, Floating Rate Note, 7/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 6,605,473  |
|   | 4,279,499            |             |                                                                                                                                      | CSMC Trust 2015-2, 3.5%, 2/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 4,288,862                                                                     |
|   | 4,449,986            | 3.95             |                                                                                                                                      | CSMC Trust 2015-3, Floating Rate Note, 3/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 4,356,536                                                                     |
|   | 2,104,274            | 3.50             |                                                                                                                                      | CSMC Trust 2015-WIN1, Floating Rate Note, 12/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,093,498                                                                     |
|   | 9,839,384            | 3.50             |                                                                                                                                      | CSMLT 2015-2 Trust, Floating Rate Note, 8/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 9,831,700                                                                     |
|   | 2,950,000            | 5.83             |                                                                                                                                      | DBUBS 2011-LC1 Mortgage Trust, Floating Rate Note, 11/13/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 3,246,638  |
|   | 6,767,000            | 5.58             |                                                                                                                                      | DBUBS 2011-LC3 Mortgage Trust, Floating Rate Note, 8/12/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 7,538,739  |
|   | 2,842,000            | 2.15             |                                                                                                                                      | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 2,839,953  |
|   | 5,200,000            | 3.73             |                                                                                                                                      | EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 5,151,651  |
|   | 491,609              | 2.25             |                                                                                                                                      | EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 469,245    |
|   | 6,176,943            | 3.50             |                                                                                                                                      | EverBank Mortgage Loan Trust REMICS, Floating Rate Note, 4/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 6,198,433  |
|   | 7,674,725            | 2.50             |                                                                                                                                      | EverBank Mortgage Loan Trust, Floating Rate Note, 4/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 7,222,937  |
|   | 5,065,000            | 4.30             |                                                                                                                                      | Federal Home Loan Mortgage Corp., Floating Rate Note, 9/26/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 5,155,044  |
|   | 1,258,026            |             |                                                                                                                                      | Federal National Mortgage Association REMICS, 3.5%, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 62,823                                                                        |
|   | 2,516,101            |             |                                                                                                                                      | Federal National Mortgage Association REMICS, 4.5%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,688,916                                                                     |
|   | 198,503              |             |                                                                                                                                      | Federal National Mortgage Association REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 202,192                                                                       |
|   | 6,962,587            |             |                                                                                                                                      | Freddie Mac Whole Loan Securities Trust 2015-SC01, 3.5%, 5/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 7,034,824  |
|   | 3,150,000            | 3.75             |                                                                                                                                      | FREMF Mortgage Trust 20-, Floating Rate Note, 11/25/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 3,116,563  |
|   | 3,900,000            | 5.44             |                                                                                                                                      | FREMF Mortgage Trust 2010-K7, Floating Rate Note, 5/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 4,234,793  |
|   | 1,980,000            | 5.42             |                                                                                                                                      | FREMF Mortgage Trust 2010-K8, Floating Rate Note, 9/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 2,137,621  |
|   | 4,160,000            | 5.20             |                                                                                                                                      | FREMF Mortgage Trust 2010-K9 REMICS, Floating Rate Note, 9/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 4,488,585  |
|   | 5,600,000            | 4.79             |                                                                                                                                      | FREMF Mortgage Trust 2011-K10 , Floating Rate Note, 11/25/49 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 5,868,672  |
|   | 3,300,000            | 4.42             |                                                                                                                                      | FREMF Mortgage Trust 2011-K11 REMICS, Floating Rate Note, 12/25/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 3,452,578  |
|   | 3,953,000            | 4.34             |                                                                                                                                      | FREMF Mortgage Trust 2011-K12, Floating Rate Note, 1/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 4,122,720  |
|   | 9,582,000            | 4.93             |                                                                                                                                      | FREMF Mortgage Trust 2011-K702, Floating Rate Note, 4/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 9,966,720  |
|   | 5,450,000            | 4.88             |                                                                                                                                      | FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 5,685,219  |
|   | 6,500,000            | 4.00             |                                                                                                                                      | FREMF Mortgage Trust 2012-K20, Floating Rate Note, 5/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 6,527,756  |
|   | 5,000,000            | 3.87             |                                                                                                                                      | FREMF Mortgage Trust 2012-K709, Floating Rate Note, 4/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 5,090,140  |
|   | 1,000,000            | 3.30             |                                                                                                                                      | FREMF Mortgage Trust 2013-K502, Floating Rate Note, 3/27/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,007,654  |
|   | 3,400,000            | 3.27             |                                                                                                                                      | FREMF Mortgage Trust 2013-K713, Floating Rate Note, 4/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 3,380,319  |
|   | 2,750,000            | 3.40             |                                                                                                                                      | FREMF Mortgage Trust Class B, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,768,387  |
|   | 3,661,000            | 3.95             |                                                                                                                                      | FREMF Mortgage Trust Class B, Floating Rate Note, 6/25/47 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 3,735,319  |
|   | 2,000,000            | 3.40             |                                                                                                                                      | FREMF Mortgage Trust Class C, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,005,545  |
|   | 3,612,453            |             |                                                                                                                                      | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 3,494,841                                                                     |
|   | 1,571,564            |             |                                                                                                                                      | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 1,502,136                                                                     |
|   | 5,552,579            | 0.69             |                                                                                                                                      | Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 5,319,153  |
|   | 5,866,666            |             |                                                                                                                                      | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 6,031,419                                                                     |
|   | 7,799,777            |             |                                                                                                                                      | Government National Mortgage Association, 4.5%, 9/20/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 8,372,265                                                                     |
|   | 4,500,000            |             |                                                                                                                                      | GS Mortgage Securities Corp. II, 3.682%, 2/10/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 4,443,007                                                                     |
|   | 7,305,000            | 1.95             |                                                                                                                                      | GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 7,273,090  |
|   | 3,410,198            |             |                                                                                                                                      | GSR Mortgage Loan Trust 2004-15F, 6.0%, 12/26/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 3,499,918                                                                     |
|   | 3,404,363            | 2.86             |                                                                                                                                      | GSR Mortgage Loan Trust 2005-AR1, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 3,426,264  |
|   | 204,341              | 2.74             |                                                                                                                                      | HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 203,393    |
|   | 2,780,974            | 1.06             |                                                                                                                                      | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,656,699                                                                     |
|   | 2,512,415            | 1.22             |                                                                                                                                      | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,394,837                                                                     |
|   | 1,649,004            | 1.82             |                                                                                                                                      | Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,481,802  |
|   | 2,063,620            | 2.91             |                                                                                                                                      | IndyMac INDX Mortgage Loan Trust 2005-AR3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 1,932,574  |
|   | 6,944,736            | 3.17             |                                                                                                                                      | Irvine Core Office Trust 2013-IRV, Floating Rate Note, 5/15/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 6,903,550  |
|   | 1,003,844            | 0.74             |                                                                                                                                      | JP Morgan Alternative Loan Trust, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 925,041                                                                       |
|   | 4,000,000            |             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, 5.623%, 5/12/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 3,837,895  |
|   | 3,187,692            | 0.69             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 3,148,284  |
|   | 2,392,000            | 5.56             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 2,400,746  |
|   | 1,300,000            | 5.73             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, Floating Rate Note, 11/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 1,385,051  |
|   | 5,200,000            |             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5, 4.1712%, 8/17/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 5,537,445  |
|   | 4,000,000            | 3.98             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, Floating Rate Note, 10/17/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 4,051,434  |
|   | 3,212,779            | 3.50             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2013-A5, Floating Rate Note, 7/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 3,285,581  |
|   | 10,620,000           |             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16, 3.07%, 12/17/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 10,841,279 |
|   | 4,800,000            | 1.68             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 4,780,560  |
|   | 6,750,000            | 2.03             |                                                                                                                                      | JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 6,677,249  |
|   | 1,699,225            | 3.00             |                                                                                                                                      | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,661,502  |
|   | 17,789,017           | 2.50             |                                                                                                                                      | JP Morgan Mortgage Trust 2013-1, Floating Rate Note, 3/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 17,625,910 |
|   | 5,678,159            | 3.50             |                                                                                                                                      | JP Morgan Mortgage Trust 2013-2, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 5,714,539  |
|   | 4,083,280            | 3.50             |                                                                                                                                      | JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 4,128,682  |
|   | 1,779,631            | 4.00             |                                                                                                                                      | JP Morgan Mortgage Trust 2014-1 REMICS, Floating Rate Note, 1/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 1,847,548  |
|   | 1,806,787            | 3.00             |                                                                                                                                      | JP Morgan Mortgage Trust 2014-5, Floating Rate Note, 10/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 1,830,783  |
|   | 5,506,289            | 3.19             |                                                                                                                                      | JP Morgan Mortgage Trust 2014-IVR3, Floating Rate Note, 9/26/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 5,444,391  |
|   | 2,865,770            | 3.50             |                                                                                                                                      | JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/26/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 2,907,444  |
|   | 16,972,321           | 3.00             |                                                                                                                                      | JP Morgan Mortgage Trust 2015-4, Floating Rate Note, 6/26/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 16,627,771 |
|   | 9,805,682            | 3.50             |                                                                                                                                      | JP Morgan Trust 2015-6, Floating Rate Note, 10/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 9,706,909                                                                     |
|   | 3,120,000            |             |                                                                                                                                      | JPMCC Re-REMIC Trust 2014-FRR1, 3.31488%, 4/27/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 2,995,617  |
|   | 1,256,876            | 2.50             |                                                                                                                                      | La Hipotecaria Panamanian Mortgage Trust 2010-1, Floating Rate Note, 9/8/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,298,981  |
|   | 1,528,457            | 0.62             |                                                                                                                                      | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2, Floating Rate Note, 9/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 1,448,228  |
|   | 755,054              | 1.17             |                                                                                                                                      | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class 1A4, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 751,740    |
|   | 969,090              | 0.44             |                                                                                                                                      | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 911,061    |
|   | 8,410,000            | 3.47             |                                                                                                                                      | LSTAR Commercial Mortgage Trust 2015-3, Floating Rate Note, 4/22/48 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 8,161,906  |
|   | 12,867,910           | 2.24             |                                                                                                                                      | LSTAR Securities Investment Trust 2015-2, Floating Rate Note, 1/2/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 12,704,999 |
|   | 5,000,000            | 3.69             |                                                                                                                                      | LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 4,881,250  |
|   | 718,426              | 2.24             |                                                                                                                                      | MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 688,411    |
|   | 1,067,611            | 1.32             |                                                                                                                                      | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 927,497    |
|   | 1,114,510            | 1.20             |                                                                                                                                      | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D REMICS, Floating Rate Note, 9/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 967,067    |
|   | 2,075,000            |             |                                                                                                                                      | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 REMICS, 2.979%, 4/17/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 2,116,267  |
|   | 3,000,000            | 2.53             |                                                                                                                                      | Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 2,983,629  |
|   | 3,997,000            | 0.92             |                                                                                                                                      | Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 3,620,537  |
|   | 3,935,000            | 0.88             |                                                                                                                                      | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 3,418,552  |
|   | 1,854,000            | 1.09             |                                                                                                                                      | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,485,327  |
|   | 4,602,332            | 2.99             |                                                                                                                                      | Morgan Stanley Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 6/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 4,527,476  |
|   | 1,774,298            | 2.99             |                                                                                                                                      | Morgan Stanley Residential Mortgage Loan Trust 2014-1, Floating Rate Note, 6/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,724,821  |
|   | 2,241,605            | 1.31             |                                                                                                                                      | MortgageIT Trust 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 2,108,462                                                                     |
|   | 5,732,482            | 3.75             |                                                                                                                                      | New Residential Mortgage Loan Trust 2014-3, Floating Rate Note, 11/25/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 5,824,505  |
|   | 2,089,429            |             |                                                                                                                                      | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 2,173,460  |
|   | 9,702,906            | 3.25             |                                                                                                                                      | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 9,518,492  |
|   | 4,513,257            | 3.25             |                                                                                                                                      | NRP Mortgage Trust 2013-1, Floating Rate Note, 7/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 4,507,865  |
|   | 7,273,000            | 0.88             |                                                                                                                                      | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates Series 20, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 6,376,094  |
|   | 6,674,000            | 0.90             |                                                                                                                                      | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates Series 20, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 5,720,436  |
|   | 10,936,000           | 0.91             |                                                                                                                                      | Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 8,874,655  |
|   | 1,800,256            |             |                                                                                                                                      | ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,797,374                                                                     |
|   | 4,000,000            | 2.39             |                                                                                                                                      | RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 3,913,642                                                                     |
|   | 5,196                |             |                                                                                                                                      | RALI Series 2003-QS1 Trust, 5.0%, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,184                                                                         |
|   | 556,818              |             |                                                                                                                                      | RALI Series 2003-QS11 Trust, 5.25%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 556,029                                                                       |
|   | 2,812,146            | 0.77             |                                                                                                                                      | RALI Series 2003-QS13 Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,602,400                                                                     |
|   | 292,850              |             |                                                                                                                                      | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 296,173                                                                       |
|   | 265,470              |             |                                                                                                                                      | RALI Series 2004-QS3 Trust, 5.0%, 3/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 268,282                                                                       |
|   | 1,230,936            | 0.72             |                                                                                                                                      | RALI Series 2004-QS4 Trust, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,136,075                                                                     |
|   | 777,190              |             |                                                                                                                                      | RCMC LLC, 5.62346%, 12/17/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 785,715                                                                       |
|   | 824,096              | 2.50             |                                                                                                                                      | Resource Capital Corp. CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 824,130    |
|   | 2,735,500            | 3.91             |                                                                                                                                      | Sequoia Mortgage Trust 2012-5, Floating Rate Note, 11/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,741,357                                                                     |
|   | 8,990,021            | 2.50             |                                                                                                                                      | Sequoia Mortgage Trust 2012-6, Floating Rate Note, 12/26/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 8,648,473                                                                     |
|   | 5,091,707            | 3.64             |                                                                                                                                      | Sequoia Mortgage Trust 2013-1, Floating Rate Note, 2/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 5,114,993                                                                     |
|   | 12,187,689           | 1.87             |                                                                                                                                      | Sequoia Mortgage Trust 2013-2, Floating Rate Note, 2/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 11,131,266                                                                    |
|   | 4,810,684            | 3.53             |                                                                                                                                      | Sequoia Mortgage Trust 2013-3, Floating Rate Note, 3/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 4,735,681                                                                     |
|   | 2,456,413            | 2.33             |                                                                                                                                      | Sequoia Mortgage Trust 2013-4 REMICS, Floating Rate Note, 4/27/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,288,550  |
|   | 8,098,238            | 2.50             |                                                                                                                                      | Sequoia Mortgage Trust 2013-4, Floating Rate Note, 4/27/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 7,707,563                                                                     |
|   | 6,355,682            | 2.50             |                                                                                                                                      | Sequoia Mortgage Trust 2013-5 REMICS, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 5,985,514  |
|   | 5,040,051            | 3.53             |                                                                                                                                      | Sequoia Mortgage Trust 2013-5, Floating Rate Note, 5/25/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 4,956,578  |
|   | 16,011,224           | 2.50             |                                                                                                                                      | Sequoia Mortgage Trust 2013-6, Floating Rate Note, 5/26/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 15,338,881                                                                    |
|   | 5,907,739            | 3.00             |                                                                                                                                      | Sequoia Mortgage Trust 2013-7, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 5,772,968                                                                     |
|   | 2,571,847            | 2.25             |                                                                                                                                      | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,471,586                                                                     |
|   | 3,240,018            | 3.00             |                                                                                                                                      | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,136,742                                                                     |
|   | 3,960,810            |             |                                                                                                                                      | Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 3,916,295                                                                     |
|   | 4,583,817            |             |                                                                                                                                      | Sequoia Mortgage Trust 2013-9, 3.5%, 7/27/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 4,467,117                                                                     |
|   | 8,267,112            | 3.50             |                                                                                                                                      | Sequoia Mortgage Trust 2015-3, Floating Rate Note, 7/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 8,239,988  |
|   | 1,762,159            | 3.00             |                                                                                                                                      | Sequoia Mortgage Trust, Floating Rate Note, 9/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 1,715,903                                                                     |
|   | 1,053,824            | 2.10             |                                                                                                                                      | Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,052,789  |
|   | 718,136              | 2.93             |                                                                                                                                      | Structured Adjustable Rate Mortgage Loan Trust Class 1A1, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 712,828    |
|   | 2,250,635            | 2.47             |                                                                                                                                      | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 2,224,746  |
|   | 20,165               | 2.59             |                                                                                                                                      | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 20,224     |
|   | 2,254,350            | 2.59             |                                                                                                                                      | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 2,236,556  |
|   | 1,222,668            | 2.43             |                                                                                                                                      | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-24A, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 1,202,508  |
|   | 750,000              |             |                                                                                                                                      | TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 769,217                                                                       |
|   | 6,671,000            |             |                                                                                                                                      | TimberStar Trust I, 7.5296%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,766,529                                                                     |
|   | 4,461,000            | 3.75             |                                                                                                                                      | Towd Point Mortgage Trust 2015-1, Floating Rate Note, 11/25/57 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 4,451,451  |
|   | 4,200,000            |             |                                                                                                                                      | UBS Commercial Mortgage Trust 2012-C1, 3.4%, 5/12/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,276,873                                                                     |
|   | 3,715,124            | 2.42             |                                                                                                                                      | Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 3,677,972  |
|   | 5,565,000            | 5.28             |                                                                                                                                      | Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 5,509,350  |
|   | 2,274,000            | 5.88             |                                                                                                                                      | Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,239,890  |
|   | 4,800,000            | 5.80             |                                                                                                                                      | Wells Fargo Commercial Mortgage Trust 2010-C1, Floating Rate Note, 11/18/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 5,141,321  |
|   | 1,775,000            | 4.69             |                                                                                                                                      | Wells Fargo Commercial Mortgage Trust 2012-LC5, Floating Rate Note, 10/17/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,809,838  |
|   | 3,525,000            |             |                                                                                                                                      | Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 2.819%, 8/17/50                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 3,579,548  |
|   | 7,000,000            |             |                                                                                                                                      | Wells Fargo Commercial Mortgage Trust 2014-LC16 REMICS, 3.477%, 8/17/50                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 7,159,290  |
|   | 4,820,528            | 2.74             |                                                                                                                                      | Wells Fargo Mortgage Backed Securities 2005-AR7 Trust, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 4,333,545  |
|   | 1,200,000            | 5.39             |                                                                                                                                      | WF-RBS Commercial Mortgage Trust 2011-C2, Floating Rate Note, 2/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,272,189  |
|   | 2,885,000            |             |                                                                                                                                      | WFRBS Commercial Mortgage Trust 2011-C3, 3.998%, 3/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 2,999,774  |
|   | 2,000,000            | 5.43             |                                                                                                                                      | WFRBS Commercial Mortgage Trust 2011-C4, Floating Rate Note, 6/17/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 2,053,400  |
|   | 3,450,000            |             |                                                                                                                                      | WFRBS Commercial Mortgage Trust 2014-LC14, 2.862%, 3/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 3,507,151  |
|   | 6,658,702            | 3.50             |                                                                                                                                      | WinWater Mortgage Loan Trust 2015-1 REMICS, Floating Rate Note, 1/20/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 6,700,145  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 732,228,745                                                                   |
|   |                 |             |                                                                                                                                      | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $731,582,850)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 732,228,745                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | CORPORATE BONDS - 45.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   |                 |             |                                                                                                                                      | Energy - 5.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Oil & Gas Drilling - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 17,750,000           |             |                                                                                                                                      | Ensco Plc, 4.5%, 10/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 12,218,585                                                                    |
|   | 2,250,000            |             |                                                                                                                                      | Pride International, Inc., 6.875%, 8/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,089,134                                                                     |
|   | 24,347,000           |             |                                                                                                                                      | Rowan Companies, Inc., 5.85%, 1/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 14,692,100                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 28,999,819                                                                    |
|   |                 |             |                                                                                                                                      | Oil & Gas Equipment & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 79,000               |             |                                                                                                                                      | SESI LLC, 7.125%, 12/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 70,310                                                                        |
|   | 3,825,000            |             |                                                                                                                                      | Weatherford International, Ltd. Bermuda, 5.95%, 4/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 2,687,062                                                                     |
|   | 4,070,000            |             |                                                                                                                                      | Weatherford International, Ltd. Bermuda, 9.625%, 3/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 3,963,162                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,720,534                                                                     |
|   |                 |             |                                                                                                                                      | Integrated Oil & Gas - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
| MXN    | 14,965,000           |             |                                                                                                                                      | Petroleos Mexicanos, 7.19%, 9/12/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 805,241                                                                       |
|   | 1,395,000            |             |                                                                                                                                      | Rosneft Finance SA, 6.625%, 3/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,427,780                                                                     |
|   | 1,770,000            |             |                                                                                                                                      | Rosneft Finance SA, 7.25%, 2/2/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,869,262                                                                     |
|   | 1,250,000            |             |                                                                                                                                      | Rosneft Finance SA, 7.875%, 3/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,329,980                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 5,432,263                                                                     |
|   |                 |             |                                                                                                                                      | Oil & Gas Exploration & Production - 1.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 5,785,000            |             |                                                                                                                                      | Antero Resources Corp., 5.125%, 12/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 4,396,600                                                                     |
|   | 1,600,000            |             |                                                                                                                                      | Antero Resources Corp., 5.625%, 6/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,248,000                                                                     |
|   | 4,665,000            |             |                                                                                                                                      | Bonanza Creek Energy, Inc., 5.75%, 2/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,425,800                                                                     |
|   | 4,655,000            |             |                                                                                                                                      | Carrizo Oil & Gas, Inc., 7.5%, 9/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 4,067,306                                                                     |
|   | 9,120,000            |             |                                                                                                                                      | Comstock Resources, Inc., 7.75%, 4/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,368,000                                                                     |
|   | 5,125,000            |             |                                                                                                                                      | Concho Resources, Inc., 6.5%, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 4,920,000                                                                     |
|   | 10,196,000           |             |                                                                                                                                      | Denbury Resources, Inc., 4.625%, 7/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,281,888                                                                     |
|   | 4,290,000            |             |                                                                                                                                      | Denbury Resources, Inc., 5.5%, 5/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 1,424,194                                                                     |
|   | 3,780,000            |             |                                                                                                                                      | Dolphin Energy, Ltd., 5.5%, 12/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 4,157,093                                                                     |
|   | 155,000              |             |                                                                                                                                      | EP Energy LLC, 7.75%, 9/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 79,050                                                                        |
|   | 6,435,000            |             |                                                                                                                                      | EP Energy LLC, 9.375%, 5/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 4,102,312                                                                     |
|   | 107,000              |             |                                                                                                                                      | Freeport-McMoran Oil & Gas LLC, 6.75%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 65,805                                                                        |
|   | 765,000              |             |                                                                                                                                      | Gazprom OAO Via Gaz Capital SA, 8.146%, 4/11/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 823,253                                                                       |
|   | 8,470,000            |             |                                                                                                                                      | Hilcorp Energy I LP, 5.75%, 10/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 7,368,900                                                                     |
|   | 5,768,000            |             |                                                                                                                                      | Hilcorp Energy I LP, 7.625%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 5,537,280                                                                     |
|   | 3,500,000            |             |                                                                                                                                      | KazMunayGas National Co JSC, 4.4%, 4/30/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,254,510                                                                     |
|   | 4,600,000            |             |                                                                                                                                      | Linn Energy LLC, 12.0%, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 2,300,000                                                                     |
|   | 975,000              |             |                                                                                                                                      | Linn Energy LLC, 7.75%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 141,375                                                                       |
|   | 3,374,000            |             |                                                                                                                                      | Linn Energy LLC, 8.625%, 4/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 577,798                                                                       |
|   | 6,125,000            |             |                                                                                                                                      | Newfield Exploration Co., 5.625%, 7/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 5,221,562                                                                     |
|   | 5,530,000            |             |                                                                                                                                      | Noble Energy, Inc., 5.625%, 5/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 5,409,374                                                                     |
|   | 503,000              |             |                                                                                                                                      | Noble Energy, Inc., 5.875%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 478,504                                                                       |
|   | 2,100,000            |             |                                                                                                                                      | Noble Energy, Inc., 5.875%, 6/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 2,009,458                                                                     |
|   | 15,700,000           |             |                                                                                                                                      | Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 13,878,015 |
|   | 3,760,000            |             |                                                                                                                                      | Pacific Exploration and Production Corp., 5.375%, 1/26/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 714,400    |
|   | 1,200,000            |             |                                                                                                                                      | Parsley Energy LLC, 7.5%, 2/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,146,000                                                                     |
|   | 8,425,000            |             |                                                                                                                                      | PDC Energy, Inc., 7.75%, 10/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 8,088,000                                                                     |
|   | 9,865,000            |             |                                                                                                                                      | Sanchez Energy Corp., 6.125%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 5,327,100                                                                     |
|   | 1,025,000            |             |                                                                                                                                      | Sanchez Energy Corp., 7.75%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 625,250                                                                       |
|   | 1,160,000            |             |                                                                                                                                      | SM Energy Co., 5.0%, 1/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 754,000                                                                       |
|   | 3,905,000            |             |                                                                                                                                      | SM Energy Co., 5.625%, 6/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 2,577,300                                                                     |
|   | 1,080,000            |             |                                                                                                                                      | SM Energy Co., 6.5%, 1/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 793,800                                                                       |
|   | 3,625,000            |             |                                                                                                                                      | Swift Energy Co., 7.875%, 3/1/22 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 290,000                                                                       |
|   | 3,650,000            |             |                                                                                                                                      | Vanguard Natural Resources LLC, 7.875%, 4/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 967,250                                                                       |
|   | 9,625,000            |             |                                                                                                                                      | WPX Energy, Inc., 7.5%, 8/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 7,796,250                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 107,615,427                                                                   |
|   |                 |             |                                                                                                                                      | Oil & Gas Refining & Marketing - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 7,455,000            |             |                                                                                                                                      | Calumet Specialty Products Partners LP, 6.5%, 4/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 6,485,850                                                                     |
|   | 10,465,000           |             |                                                                                                                                      | EnLink Midstream Partners LP, 4.4%, 4/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 8,286,166                                                                     |
|   | 3,125,000            |             |                                                                                                                                      | Reliance Holding USA, Inc., 4.5%, 10/19/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,309,522                                                                     |
|   | 9,480,000            |             |                                                                                                                                      | Tesoro Corp., 5.375%, 10/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 9,503,700                                                                     |
|   | 4,414,000            |             |                                                                                                                                      | Valero Energy Corp., 9.375%, 3/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 5,214,832                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 32,800,070                                                                    |
|   |                 |             |                                                                                                                                      | Oil & Gas Storage & Transportation - 3.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 13,775,000           |             |                                                                                                                                      | Boardwalk Pipelines LP, 4.95%, 12/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 11,977,776                                                                    |
|   | 1,770,000            |             |                                                                                                                                      | Buckeye Partners LP, 6.05%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 1,837,471                                                                     |
|   | 11,925,000           |             |                                                                                                                                      | Crestwood Midstream Partners LP, 6.25%, 4/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 8,317,688                                                                     |
|   | 4,290,000            |             |                                                                                                                                      | DCP Midstream LLC, 9.75%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,368,288                                                                     |
|   | 11,805,000           | 5.85             |                                                                                                                                      | DCP Midstream LLC, Floating Rate Note, 5/21/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 9,030,825                                                                     |
|   | 19,500,000           |             |                                                                                                                                      | Enbridge Energy Partners LP, 7.375%, 10/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 18,682,502                                                                    |
|   | 10,750,000           |             |                                                                                                                                      | Enterprise Products Operating LLC, 3.7%, 2/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 9,642,772                                                                     |
|   | 3,683,000            | 8.38             |                                                                                                                                      | Enterprise Products Operating LLC, Floating Rate Note, 8/1/66                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,296,285                                                                     |
| NOK    | 33,000,000           | 6.31             |                                                                                                                                      | Golar LNG Partners LP, Floating Rate Note, 10/12/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 3,747,527                                                                     |
|   | 18,000,000           |             |                                                                                                                                      | Kinder Morgan, Inc. Delaware, 5.05%, 2/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 13,349,016                                                                    |
|   | 23,385,000           |             |                                                                                                                                      | Kinder Morgan, Inc. Delaware, 5.55%, 6/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 18,255,033                                                                    |
|   | 17,410,000           |             |                                                                                                                                      | MPLX LP, 4.875%, 12/1/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 15,625,475                                                                    |
|   | 9,425,000            |             |                                                                                                                                      | ONEOK, Inc., 6.875%, 9/30/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,786,000                                                                     |
|   | 18,500,000           |             |                                                                                                                                      | Plains All American Pipeline LP, 4.65%, 10/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 16,149,594                                                                    |
|   | 12,650,000           |             |                                                                                                                                      | Sabine Pass Liquefaction LLC, 5.625%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 11,638,000                                                                    |
|   | 3,155,000            |             |                                                                                                                                      | Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 2,669,919                                                                     |
|   | 2,140,000            |             |                                                                                                                                      | Spectra Energy Capital LLC, 6.75%, 7/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,301,133                                                                     |
|   | 10,390,000           |             |                                                                                                                                      | Sunoco Logistics Partners Operations LP, 6.1%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 8,298,025                                                                     |
|   | 4,320,000            |             |                                                                                                                                      | Targa Resources Partners LP, 4.125%, 11/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,596,400                                                                     |
|   | 31,000,000           |             |                                                                                                                                      | The Williams Companies, Inc., 5.75%, 6/24/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 18,406,436                                                                    |
|   | 8,250,000            |             |                                                                                                                                      | The Williams Companies, Inc., 7.5%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 5,707,738                                                                     |
|   | 8,880,000            |             |                                                                                                                                      | The Williams Companies, Inc., 7.75%, 6/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,288,878                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 199,972,781                                                                   |
|   |                 |             |                                                                                                                                      | Coal & Consumable Fuels - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,860,000            |             |                                                                                                                                      | Alpha Natural Resources, Inc., 6.25%, 6/1/21 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 4,650                                                                         |
|   |                 |             |                                                                                                                                      | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 381,545,544                                                                   |
|   |                 |             |                                                                                                                                      | Materials - 3.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Commodity Chemicals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 1,575,000            |             |                                                                                                                                      | Hexion, Inc., 8.875%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 1,110,375                                                                     |
|   | 6,750,000            |             |                                                                                                                                      | Methanex Corp., 4.25%, 12/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 5,984,536                                                                     |
|   | 3,605,000            |             |                                                                                                                                      | NOVA Chemicals Corp., 5.0%, 5/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,478,825                                                                     |
|   | 3,875,000            |             |                                                                                                                                      | Rain CII Carbon LLC, 8.0%, 12/1/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,322,812                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 13,896,548                                                                    |
|   |                 |             |                                                                                                                                      | Diversified Chemicals - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 1,265,000            |             |                                                                                                                                      | Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,391,500                                                                     |
|   | 1,265,000            |             |                                                                                                                                      | Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,364,619                                                                     |
|   | 4,140,000            |             |                                                                                                                                      | Eastman Chemical Co., 4.8%, 9/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 3,801,029                                                                     |
| EURO   | 14,095,000           |             |                                                                                                                                      | Ineos Finance Plc, 4.0%, 5/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 14,614,982                                                                    |
| EURO   | 1,045,000            |             |                                                                                                                                      | PSPC Escrow Corp., 6.0%, 2/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 970,090                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 22,142,220                                                                    |
|   |                 |             |                                                                                                                                      | Fertilizers & Agricultural Chemicals - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 25,250,000           |             |                                                                                                                                      | Agrium, Inc., 5.25%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 23,536,888                                                                    |
|   | 3,650,000            |             |                                                                                                                                      | EuroChem Mineral & Chemical Co OJSC via EuroChem Global Investments, Ltd., 5.125%, 12/12/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 3,659,125  |
|   | 5,550,000            |             |                                                                                                                                      | Phosagro OAO via Phosagro Bond Funding, Ltd., 4.204%, 2/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 5,479,238  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 32,675,251                                                                    |
|   |                 |             |                                                                                                                                      | Specialty Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 3,395,000            |             |                                                                                                                                      | Platform Specialty Products Corp., 6.5%, 2/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 2,936,675                                                                     |
|   | 1,375,000            |             |                                                                                                                                      | Rentech Nitrogen Partners LP, 6.5%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 1,333,750                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,270,425                                                                     |
|   |                 |             |                                                                                                                                      | Construction Materials - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 5,098,000            |             |                                                                                                                                      | CEMEX Espana SA, 9.875%, 4/30/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 5,391,135                                                                     |
|   | 3,400,000            |             |                                                                                                                                      | Cemex SAB de CV, 7.25%, 1/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 3,272,500                                                                     |
|   | 1,900,000            |             |                                                                                                                                      | Holcim US Finance Sarl & Cie SCS, 6.0%, 12/30/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,107,345                                                                     |
|   | 4,250,000            |             |                                                                                                                                      | Union Andina de Cementos SAA, 5.875%, 10/30/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 4,101,250                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 14,872,230                                                                    |
|   |                 |             |                                                                                                                                      | Metal & Glass Containers - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,129,412            |             |                                                                                                                                      | Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 1,109,647                                                                     |
|   | 7,250,000            |             |                                                                                                                                      | Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 7,467,500                                                                     |
| EURO   | 10,958,000           |             |                                                                                                                                      | Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 12,433,757                                                                    |
|   | 2,010,000            |             |                                                                                                                                      | Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 2,040,150  |
|   | 5,795,000            |             |                                                                                                                                      | Reynolds Group Issuer, Inc., 9.875%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 5,838,462                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 28,889,516                                                                    |
|   |                 |             |                                                                                                                                      | Paper Packaging - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 1,824,000            |             |                                                                                                                                      | AEP Industries, Inc., 8.25%, 4/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,874,160                                                                     |
|   | 2,725,000            |             |                                                                                                                                      | International Paper Co., 3.8%, 1/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,684,793                                                                     |
|   | 10,035,000           |             |                                                                                                                                      | International Paper Co., 6.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 10,523,985                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 15,082,938                                                                    |
|   |                 |             |                                                                                                                                      | Diversified Metals & Mining - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 6,230,000            |             |                                                                                                                                      | Ausdrill Finance Pty, Ltd., 6.875%, 11/1/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 4,423,300                                                                     |
|   | 8,860,000            |             |                                                                                                                                      | Freeport-McMoRan, Inc., 3.875%, 3/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 5,050,200                                                                     |
|   | 18,840,000           |             |                                                                                                                                      | Gold Fields Orogen Holdings BVI, Ltd., 4.875%, 10/7/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 14,035,800 |
|   | 8,500,000            |             |                                                                                                                                      | MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 5.55%, 10/28/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 8,510,370  |
|   | 3,500,000            |             |                                                                                                                                      | MMC Norilsk Nickel OJSC via MMC Finance, Ltd., 6.625%, 10/14/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 3,563,000  |
|   | 5,850,000            |             |                                                                                                                                      | Vedanta Resources Plc, 6.0%, 1/31/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 3,702,681                                                                     |
|   | 4,040,000            |             |                                                                                                                                      | Vedanta Resources Plc, 9.5%, 7/18/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,989,398                                                                     |
|   | 1,830,000            |             |                                                                                                                                      | Volcan Cia Minera SAA, 5.375%, 2/2/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,162,050                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 43,436,799                                                                    |
|   |                 |             |                                                                                                                                      | Precious Metals & Minerals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 7,550,000            |             |                                                                                                                                      | Fresnillo Plc, 5.5%, 11/13/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,587,750                                                                     |
|   |                 |             |                                                                                                                                      | Steel - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 3,645,000            |             |                                                                                                                                      | Allegheny Technologies, Inc., 9.375%, 6/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 2,916,000                                                                     |
|   | 5,175,000            |             |                                                                                                                                      | Glencore Funding LLC, 4.125%, 5/30/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 3,816,614                                                                     |
|   | 3,400,000            |             |                                                                                                                                      | Metalloinvest Finance, Ltd., 5.625%, 4/17/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 3,268,148                                                                     |
|   | 7,000,000            |             |                                                                                                                                      | Samarco Mineracao SA, 4.125%, 11/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,240,000                                                                     |
|   | 3,000,000            |             |                                                                                                                                      | Samarco Mineracao SA, 5.75%, 10/24/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 960,000                                                                       |
|   | 3,875,000            |             |                                                                                                                                      | Worthington Industries, Inc., 4.55%, 4/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 3,828,147                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 17,028,909                                                                    |
|   |                 |             |                                                                                                                                      | Paper Products - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 8,625,000            |             |                                                                                                                                      | Inversiones CMPC SA, 4.5%, 4/25/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 8,399,810                                                                     |
|   | 11,110,000           |             |                                                                                                                                      | Resolute Forest Products, Inc., 5.875%, 5/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,082,525                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 16,482,335                                                                    |
|   |                 |             |                                                                                                                                      | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 216,364,921                                                                   |
|   |                 |             |                                                                                                                                      | Capital Goods - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Aerospace & Defense - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 1,025,000            |             |                                                                                                                                      | DynCorp International, Inc., 10.375%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 758,500                                                                       |
|   | 2,520,000            |             |                                                                                                                                      | Huntington Ingalls Industries, Inc., 5.0%, 11/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,557,800                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,316,300                                                                     |
|   |                 |             |                                                                                                                                      | Building Products - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 9,250,000            |             |                                                                                                                                      | Building Materials Corp of America, 5.375%, 11/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 9,226,875                                                                     |
|   | 312,000              |             |                                                                                                                                      | Griffon Corp., 5.25%, 3/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 297,570                                                                       |
|   | 14,465,000           |             |                                                                                                                                      | Masco Corp., 7.125%, 3/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 16,707,075                                                                    |
|   | 5,975,000            |             |                                                                                                                                      | Owens Corning, 4.2%, 12/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 5,815,169                                                                     |
|   | 8,525,000            | 5.75             |                                                                                                                                      | Stanley Black & Decker, Inc., Floating Rate Note, 12/15/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 8,951,250                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 40,997,939                                                                    |
|   |                 |             |                                                                                                                                      | Construction & Engineering - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 3,400,000            |             |                                                                                                                                      | Empresas ICA SAB de CV, 8.375%, 7/24/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 841,500                                                                       |
|   | 6,425,000            |             |                                                                                                                                      | Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 1,365,312                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,206,812                                                                     |
|   |                 |             |                                                                                                                                      | Industrial Conglomerates - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 4,200,000            |             |                                                                                                                                      | Magnesita Finance, Ltd., 8.625% (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,268,000                                                                     |
|   |                 |             |                                                                                                                                      | Construction & Farm Machinery & Heavy Trucks - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 1,059,000            |             |                                                                                                                                      | Commercial Vehicle Group, Inc., 7.875%, 4/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 926,625                                                                       |
|   | 14,150,000           |             |                                                                                                                                      | Cummins, Inc., 5.65%, 3/1/98                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 14,773,109                                                                    |
|   | 1,635,000            |             |                                                                                                                                      | Meritor, Inc., 6.25%, 2/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,397,925                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 17,097,659                                                                    |
|   |                 |             |                                                                                                                                      | Industrial Machinery - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 3,908,160            |             |                                                                                                                                      | Liberty Tire Recycling LLC, 11.0%, 3/31/21 (0.0% cash, 11.0% PIK) (144A) (PIK) (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,501,222                                                                     |
|   | 1,291,000            |             |                                                                                                                                      | Valmont Industries, Inc., 6.625%, 4/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,430,367                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,931,589                                                                     |
|   |                 |             |                                                                                                                                      | Trading Companies & Distributors - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 3,775,000            |             |                                                                                                                                      | Aircastle, Ltd., 6.25%, 12/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 4,058,125                                                                     |
|   | 2,900,000            |             |                                                                                                                                      | Aircastle, Ltd., 7.625%, 4/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 3,262,500                                                                     |
|   | 6,865,000            |             |                                                                                                                                      | GATX Corp., 6.0%, 2/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 7,355,724                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 14,676,349                                                                    |
|   |                 |             |                                                                                                                                      | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 84,494,648                                                                    |
|   |                 |             |                                                                                                                                      | Commercial Services & Supplies - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | Research & Consulting Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 11,320,000           |             |                                                                                                                                      | Verisk Analytics, Inc., 5.5%, 6/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 10,807,928                                                                    |
|   |                 |             |                                                                                                                                      | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 10,807,928                                                                    |
|   |                 |             |                                                                                                                                      | Transportation - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      | Airlines - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 1,809,223            |             |                                                                                                                                      | Air Canada 2013-1 Class A Pass Through Trust, 4.125%, 11/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 1,806,961                                                                     |
|   | 3,124,187            |             |                                                                                                                                      | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 3,296,017  |
|   | 9,200,000            |             |                                                                                                                                      | American Airlines 2015-2 Class AA Pass Through Trust, 3.6%, 9/22/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 9,292,000  |
|   | 5,550,000            |             |                                                                                                                                      | American Airlines 2015-2 Class B Pass Through Trust, 4.4%, 9/22/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 5,508,375  |
|   | 230,680              |             |                                                                                                                                      | Continental Airlines 1999-1 Class B Pass Through Trust, 6.795%, 8/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 241,060    |
|   | 4,910,918            |             |                                                                                                                                      | Continental Airlines 2012-2 Class A Pass Through Trust, 4.0%, 10/29/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 5,033,691  |
|   | 200,000              |             |                                                                                                                                      | Continental Airlines 2012-3 Class C Pass Thru Certificates, 6.125%, 4/29/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 204,000    |
|   | 50,000               |             |                                                                                                                                      | Delta Air Lines 2010-1 Class B Pass Through Trust, 6.375%, 1/2/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 50,188     |
|   | 1,805,256            |             |                                                                                                                                      | Delta Air Lines 2010-2 Class A Pass Through Trust, 4.95%, 5/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 1,895,519  |
|   | 2,610,651            |             |                                                                                                                                      | Hawaiian Airlines 2013-1 Class A Pass Through Certificates, 3.9%, 1/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 2,545,384  |
|   | 16,375,000           |             |                                                                                                                                      | Latam Airlines 2015-1 Pass Through Trust A, 4.2%, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 15,351,562 |
|   | 3,935,000            |             |                                                                                                                                      | TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,112,585                                                                     |
|   | 1,334,313            |             |                                                                                                                                      | US Airways 2013-1 Class A Pass Through Trust, 3.95%, 5/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,344,320  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 49,681,662                                                                    |
|   |                 |             |                                                                                                                                      | Marine - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 3,150,000            |             |                                                                                                                                      | Far East Capital, Ltd. SA, 8.0%, 5/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 1,921,500                                                                     |
|   | 10,840,000           |             |                                                                                                                                      | Pelabuhan Indonesia II PT, 4.25%, 5/5/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 9,629,714                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 11,551,214                                                                    |
|   |                 |             |                                                                                                                                      | Trucking - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 1,602,000            |             |                                                                                                                                      | Asciano Finance, Ltd., 4.625%, 9/23/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 1,617,035                                                                     |
|   | 4,200,000            |             |                                                                                                                                      | Asciano Finance, Ltd., 5.0%, 4/7/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 4,324,282                                                                     |
|   | 6,691,455            |             |                                                                                                                                      | Inversiones Alsacia SA, 8.0%, 12/31/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,472,120                                                                     |
|   | 2,050,000            |             |                                                                                                                                      | Transnet SOC, Ltd., 4.0%, 7/26/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,807,854                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 9,221,291                                                                     |
|   |                 |             |                                                                                                                                      | Airport Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 3,375,000            |             |                                                                                                                                      | Aguila 3 SA, 7.875%, 1/31/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 3,383,438                                                                     |
|   |                 |             |                                                                                                                                      | Highways & Railtracks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
| MXN    | 87,500,000           |             |                                                                                                                                      | Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 4,891,166                                                                     |
|   |                 |             |                                                                                                                                      | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 78,728,771                                                                    |
|   |                 |             |                                                                                                                                      | Consumer Durables & Apparel - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | Home Furnishings - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 3,450,000            |             |                                                                                                                                      | Mohawk Industries, Inc., 3.85%, 2/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 3,493,077                                                                     |
|   |                 |             |                                                                                                                                      | Homebuilding - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 2,630,000            |             |                                                                                                                                      | Brookfield Residential Properties, Inc., 6.125%, 7/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 2,432,750                                                                     |
|   | 295,000              |             |                                                                                                                                      | Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 284,306                                                                       |
|   | 6,230,000            |             |                                                                                                                                      | CalAtlantic Group, Inc., 5.375%, 10/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 6,261,150                                                                     |
|   | 3,140,000            |             |                                                                                                                                      | Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 47,100                                                                        |
|   | 3,865,000            |             |                                                                                                                                      | Desarrolladora Homex SAB de CV, 9.75%, 3/25/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 57,975                                                                        |
|   | 7,780,000            |             |                                                                                                                                      | DR Horton, Inc., 5.75%, 8/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,293,480                                                                     |
|   | 5,985,000            |             |                                                                                                                                      | KB Home, 7.625%, 5/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 5,910,188                                                                     |
|   | 1,500,000            |             |                                                                                                                                      | KB Home, Inc., 8.0%, 3/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,625,625                                                                     |
|   | 3,270,000            |             |                                                                                                                                      | Toll Brothers Finance Corp., 4.875%, 11/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,212,775                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 28,125,349                                                                    |
|   |                 |             |                                                                                                                                      | Household Appliances - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 6,885,000            |             |                                                                                                                                      | Arcelik AS, 5.0%, 4/3/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 6,276,531                                                                     |
|   |                 |             |                                                                                                                                      | Housewares & Specialties - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 9,539,000            |             |                                                                                                                                      | Controladora Mabe SA de CV, 7.875%, 10/28/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 10,302,120                                                                    |
|   |                 |             |                                                                                                                                      | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 48,197,077                                                                    |
|   |                 |             |                                                                                                                                      | Consumer Services - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   |                 |             |                                                                                                                                      | Casinos & Gaming - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
| EURO   | 2,655,410            |             |                                                                                                                                      | Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,901,131                                                                     |
|   | 120,000              |             |                                                                                                                                      | International Game Technology, 7.5%, 6/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 128,376                                                                       |
|   | 27,873               |             |                                                                                                                                      | Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (1.0% cash, 5.50% PIK) (PIK)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 139        |
|   | 11,815,000           |             |                                                                                                                                      | MGM Resorts International, 6.0%, 3/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 11,726,388                                                                    |
|   | 18,000,000           |             |                                                                                                                                      | Scientific Games International, Inc., 10.0%, 12/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 12,780,000                                                                    |
|   | 6,551,000            |             |                                                                                                                                      | Wynn Macau Ltd., 5.25%, 10/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 5,764,880                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 33,300,914                                                                    |
|   |                 |             |                                                                                                                                      | Education Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 5,600,000            |             |                                                                                                                                      | President and Fellows of Harvard College, 2.3%, 10/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 5,292,263                                                                     |
|   | 14,800,000           |             |                                                                                                                                      | Tufts University, 5.017%, 4/15/12                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 15,227,468                                                                    |
|   | 5,100,000            |             |                                                                                                                                      | William Marsh Rice University, 4.626%, 5/15/63                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 5,348,559                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 25,868,290                                                                    |
|   |                 |             |                                                                                                                                      | Specialized Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 3,322,000            |             |                                                                                                                                      | Service Corp. International United States, 8.0%, 11/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 3,903,350                                                                     |
|   | 525,000              |             |                                                                                                                                      | Sotheby's, 5.25%, 10/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 477,750                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,381,100                                                                     |
|   |                 |             |                                                                                                                                      | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 63,550,304                                                                    |
|   |                 |             |                                                                                                                                      | Media - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Cable & Satellite - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 23,530,000           |             |                                                                                                                                      | CCO Safari II LLC, 6.384%, 10/23/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 23,773,088                                                                    |
|   | 26,995,000           |             |                                                                                                                                      | DIRECTV Holdings LLC, 3.95%, 1/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 26,611,941                                                                    |
|   | 4,005,000            |             |                                                                                                                                      | Globo Comunicacao e Participacoes SA, 4.843%, 6/8/25 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 3,604,500  |
|   | 5,350,000            |             |                                                                                                                                      | Numericable-SFR SAS, 6.0%, 5/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,189,500                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 59,179,029                                                                    |
|   |                 |             |                                                                                                                                      | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 59,179,029                                                                    |
|   |                 |             |                                                                                                                                      | Retailing - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Catalog Retail - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 18,100,000           |             |                                                                                                                                      | QVC, Inc., 4.45%, 2/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 16,786,537                                                                    |
|   |                 |             |                                                                                                                                      | Internet Retail - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 9,810,000            |             |                                                                                                                                      | Expedia, Inc., 4.5%, 8/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 9,468,122                                                                     |
|   | 7,110,000            |             |                                                                                                                                      | Expedia, Inc., 5.95%, 8/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 7,757,821                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 17,225,943                                                                    |
|   |                 |             |                                                                                                                                      | Computer & Electronics Retail - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 1,995,000            |             |                                                                                                                                      | Rent-A-Center, Inc., 6.625%, 11/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 1,690,762                                                                     |
|   |                 |             |                                                                                                                                      | Specialty Stores - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 5,420,000            |             |                                                                                                                                      | Outerwall, Inc., 6.0%, 3/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 4,823,800                                                                     |
|   |                 |             |                                                                                                                                      | Automotive Retail - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 3,955,000            |             |                                                                                                                                      | DriveTime Automotive Group, Inc., 8.0%, 6/1/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 3,519,950                                                                     |
|   |                 |             |                                                                                                                                      | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 44,046,992                                                                    |
|   |                 |             |                                                                                                                                      | Food & Staples Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Drug Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 5,300,251            |             |                                                                                                                                      | CVS Pass-Through Trust, 5.773%, 1/10/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 5,704,729                                                                     |
|   | 958,378              |             |                                                                                                                                      | CVS Pass-Through Trust, 6.036%, 12/10/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,052,478                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,757,207                                                                     |
|   |                 |             |                                                                                                                                      | Food Retail - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 391,000              |             |                                                                                                                                      | C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 351,900                                                                       |
|   | 282,000              |             |                                                                                                                                      | Darling Ingredients, Inc., 5.375%, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 277,770                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 629,670                                                                       |
|   |                 |             |                                                                                                                                      | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 7,386,877                                                                     |
|   |                 |             |                                                                                                                                      | Food, Beverage & Tobacco - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Distillers & Vintners - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 2,560,000            |             |                                                                                                                                      | Constellation Brands, Inc., 4.75%, 11/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 2,611,200                                                                     |
|   |                 |             |                                                                                                                                      | Agricultural Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 12,880,000           |             |                                                                                                                                      | Viterra, Inc., 5.95%, 8/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 10,948,000                                                                    |
|   |                 |             |                                                                                                                                      | Packaged Foods & Meats - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 50,000               |             |                                                                                                                                      | Agrokor dd, 8.875%, 2/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 53,125                                                                        |
|   | 3,500,000            |             |                                                                                                                                      | BRF SA, 3.95%, 5/22/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,158,750                                                                     |
|   | 6,385,000            |             |                                                                                                                                      | CFG Investment SAC, 9.75%, 7/30/19 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,000,950                                                                     |
| EURO   | 4,485,000            |             |                                                                                                                                      | Darling Global Finance BV, 4.75%, 5/30/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 4,701,588                                                                     |
|   | 9,641,000            |             |                                                                                                                                      | Grupo Bimbo SAB de CV, 3.875%, 6/27/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 9,369,972                                                                     |
|   | 4,600,000            |             |                                                                                                                                      | JBS Investments GmbH, 7.75%, 10/28/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 4,416,000                                                                     |
|   | 2,235,000            |             |                                                                                                                                      | JBS USA LLC, 5.75%, 6/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 1,944,450                                                                     |
|   | 4,650,000            |             |                                                                                                                                      | JBS USA LLC, 8.25%, 2/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 4,650,000                                                                     |
|   | 15,910,000           |             |                                                                                                                                      | Marfrig Holdings Europe BV, 6.875%, 6/24/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 14,199,675                                                                    |
|   | 4,150,000            |             |                                                                                                                                      | Marfrig Holdings Europe BV, 8.375%, 5/9/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,984,000                                                                     |
|   | 3,750,000            |             |                                                                                                                                      | Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 3,675,000                                                                     |
|   | 10,800,000           |             |                                                                                                                                      | MHP SA, 8.25%, 4/2/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 9,342,000                                                                     |
|   | 5,000,000            |             |                                                                                                                                      | Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 5,050,000                                                                     |
|   | 9,770,000            |             |                                                                                                                                      | Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 9,183,800                                                                     |
|   | 6,890,000            |             |                                                                                                                                      | Post Holdings, Inc., 6.75%, 12/1/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 7,027,800                                                                     |
|   | 3,500,000            |             |                                                                                                                                      | Post Holdings, Inc., 7.75%, 3/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,666,250                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 87,423,360                                                                    |
|   |                 |             |                                                                                                                                      | Tobacco - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 10,630,000           |             |                                                                                                                                      | Alliance One International, Inc., 9.875%, 7/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 7,813,050                                                                     |
|   | 4,700,000            |             |                                                                                                                                      | Reynolds American, Inc., 3.75%, 5/20/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 4,689,218                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 12,502,268                                                                    |
|   |                 |             |                                                                                                                                      | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 113,484,828                                                                   |
|   |                 |             |                                                                                                                                      | Health Care Equipment & Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   |                 |             |                                                                                                                                      | Health Care Supplies - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 3,700,000            |             |                                                                                                                                      | Fresenius US Finance II, Inc., 4.5%, 1/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 3,737,000                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 2,500,000            |             |                                                                                                                                      | MEDNAX, Inc., 5.25%, 12/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 2,512,500                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Facilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 3,800,000            |             |                                                                                                                                      | HCA, Inc., 6.5%, 2/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 4,140,100                                                                     |
|   | 5,070,000            |             |                                                                                                                                      | Kindred Healthcare Inc., 6.375%, 4/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,208,100                                                                     |
|   | 171,000              |             |                                                                                                                                      | Universal Hospital Services, Inc., 7.625%, 8/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 160,526                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,508,726                                                                     |
|   |                 |             |                                                                                                                                      | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 8,895,000            |             |                                                                                                                                      | Molina Healthcare, Inc., 5.375%, 11/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 8,895,000                                                                     |
|   |                 |             |                                                                                                                                      | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 23,653,226                                                                    |
|   |                 |             |                                                                                                                                      | Pharmaceuticals, Biotechnology & Life Sciences - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | Biotechnology - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 7,650,000            |             |                                                                                                                                      | Biogen, Inc., 3.625%, 9/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 7,734,731                                                                     |
|   | 9,150,000            |             |                                                                                                                                      | Biogen, Inc., 4.05%, 9/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 9,191,523                                                                     |
|   | 10,275,000           |             |                                                                                                                                      | Gilead Sciences, Inc., 4.6%, 9/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 10,447,959                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 27,374,213                                                                    |
|   |                 |             |                                                                                                                                      | Pharmaceuticals - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 8,169,000            |             |                                                                                                                                      | Endo Finance LLC, 5.375%, 1/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 8,005,620                                                                     |
|   | 1,975,000            |             |                                                                                                                                      | Endo, Ltd., 6.0%, 2/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 1,945,375                                                                     |
| EURO   | 3,000,000            |             |                                                                                                                                      | Valeant Pharmaceuticals International, Inc., 4.5%, 5/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,825,664                                                                     |
|   | 3,850,000            |             |                                                                                                                                      | Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 3,436,125  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 16,212,784                                                                    |
|   |                 |             |                                                                                                                                      | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 43,586,997                                                                    |
|   |                 |             |                                                                                                                                      | Banks - 5.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified Banks - 5.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 8,110,000            |             |                                                                                                                                      | Australia & New Zealand Banking Group, Ltd., 4.5%, 3/19/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 8,138,807                                                                     |
|   | 6,400,000            | 7.38             |                                                                                                                                      | Banco Continental SA via Continental Trustees Cayman, Ltd., Floating Rate Note, 10/7/40 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 6,865,760  |
|   | 10,210,000           | 6.88             |                                                                                                                                      | Banco de Credito del Peru Panama, Floating Rate Note, 9/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 11,052,325 |
|   | 5,000,000            |             |                                                                                                                                      | Banco Nacional de Costa Rica, 4.875%, 11/1/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,962,500                                                                     |
|   | 2,400,000            | 6.38             |                                                                                                                                      | Banco Santander SA, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 2,280,000                                                                     |
|   | 18,775,000           | 6.50             |                                                                                                                                      | Bank of America Corp., Floating Rate Note, 10/23/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 19,784,156                                                                    |
|   | 20,050,000           | 6.25             |                                                                                                                                      | Bank of America Corp., Floating Rate Note, 9/29/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 20,100,125                                                                    |
|   | 2,500,000            |             |                                                                                                                                      | BBVA Bancomer SA Texas, 4.375%, 4/10/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,468,750                                                                     |
|   | 23,300,000           |             |                                                                                                                                      | BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 24,698,000                                                                    |
|   | 2,270,000            | 5.35             |                                                                                                                                      | BBVA Bancomer SA Texas, Floating Rate Note, 11/12/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 2,224,600  |
|   | 16,875,000           |             |                                                                                                                                      | BNP Paribas SA, 4.375%, 9/28/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 16,526,059                                                                    |
|   | 6,000,000            | 5.90             |                                                                                                                                      | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 5,895,000                                                                     |
|   | 15,280,000           | 5.95             |                                                                                                                                      | Citigroup, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 14,951,480                                                                    |
|   | 10,025,000           | 7.88             |                                                                                                                                      | Credit Agricole SA, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 10,250,562                                                                    |
|   | 24,675,000           | 6.62             |                                                                                                                                      | Credit Agricole SA, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 24,255,525                                                                    |
|   | 24,000,000           |             |                                                                                                                                      | Credit Suisse Group Funding Guernsey, Ltd., 3.8%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 23,981,064 |
|   | 24,604,000           | 6.50             |                                                                                                                                      | ING Groep NV, Floating Rate Note, 12/29/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 24,035,032                                                                    |
| INR    | 208,750,000          |             |                                                                                                                                      | Inter-American Development Bank, 6.0%, 9/5/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,107,607                                                                     |
| NZD    | 11,030,000           |             |                                                                                                                                      | International Bank for Reconstruction & Development, 4.625%, 10/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 7,862,730  |
|   | 3,925,000            |             |                                                                                                                                      | Intesa Sanpaolo S.p.A., 6.5%, 2/24/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 4,452,096                                                                     |
|   | 16,850,000           | 7.70             |                                                                                                                                      | Intesa Sanpaolo S.p.A., Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 17,165,938                                                                    |
|   | 11,800,000           |             |                                                                                                                                      | Macquarie Bank, Ltd., 4.875%, 6/10/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 11,646,081                                                                    |
|   | 17,800,000           |             |                                                                                                                                      | Nordea Bank AB, 4.25%, 9/21/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 18,233,786                                                                    |
|   | 4,000,000            | 4.00             |                                                                                                                                      | Oversea-Chinese Banking Corp, Ltd., Floating Rate Note, 10/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 4,069,420  |
|   | 13,500,000           | 7.50             |                                                                                                                                      | Royal Bank of Scotland Group Plc, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 14,056,875 |
|   | 6,500,000            | 8.00             |                                                                                                                                      | Royal Bank of Scotland Group Plc, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 6,873,750  |
|   | 1,026,316            | 3.26             |                                                                                                                                      | SBP DPR Finance Co., Floating Rate Note, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 1,025,688                                                                     |
|   | 11,145,000           | 4.50             |                                                                                                                                      | Scotiabank Peru SAA, Floating Rate Note, 12/13/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 10,699,200                                                                    |
|   | 18,802,000           |             |                                                                                                                                      | Standard Chartered Plc, 3.95%, 1/11/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 18,087,486                                                                    |
|   | 4,200,000            |             |                                                                                                                                      | VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,990,000                                                                     |
|   | 555,000              | 5.88             |                                                                                                                                      | Wells Fargo & Company, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 584,138                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 344,324,540                                                                   |
|   |                 |             |                                                                                                                                      | Regional Banks - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 6,843,000            |             |                                                                                                                                      | Banco Internacional del Peru SAA Panama, 5.75%, 10/7/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 7,304,902                                                                     |
|   | 1,500,000            |             |                                                                                                                                      | CoBank ACB, 7.875%, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 1,679,146                                                                     |
|   | 10,812,000           | 6.75             |                                                                                                                                      | The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 11,501,265 |
|   | 660,000              | 5.57             |                                                                                                                                      | Wachovia Capital Trust III, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 635,745                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 21,121,058                                                                    |
|   |                 |             |                                                                                                                                      | Thrifts & Mortgage Finance - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 12,500,000           |             |                                                                                                                                      | Alfa Bank AO Via Alfa Bond Issuance Plc, 7.5%, 9/26/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 12,702,125                                                                    |
|   | 843,000              |             |                                                                                                                                      | Alfa Bank AO Via Alfa Bond Issuance Plc, 7.875%, 9/25/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 883,447    |
| RUB    | 246,800,000          |             |                                                                                                                                      | Alfa Bank AO Via Alfa Bond Issuance Plc, 8.625%, 4/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 3,337,334  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 16,922,906                                                                    |
|   |                 |             |                                                                                                                                      | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 382,368,504                                                                   |
|   |                 |             |                                                                                                                                      | Diversified Financials - 5.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Other Diversified Financial Services - 1.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 18,835,000           |             |                                                                                                                                      | Carlyle Holdings II Finance LLC, 5.625%, 3/30/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 20,005,350                                                                    |
| INR    | 1,260,600,000        |             |                                                                                                                                      | European Bank for Reconstruction & Development, 6.0%, 3/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 19,007,990 |
|   | 6,250,000            |             |                                                                                                                                      | Fixed Income Trust Series 2013-A, 10/15/97 (Step) (144A) (c)(d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 4,374,148  |
|   | 2,550,000            |             |                                                                                                                                      | Hyundai Capital Services, Inc., 4.375%, 7/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,585,504                                                                     |
| NZD    | 15,300,000           |             |                                                                                                                                      | JPMorgan Chase & Co., 4.25%, 11/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 10,564,953                                                                    |
|   | 31,786,000           | 6.75             |                                                                                                                                      | JPMorgan Chase & Co., Floating Rate Note, 8/29/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 34,646,740                                                                    |
|   | 5,300,000            |             |                                                                                                                                      | SUAM Finance BV, 4.875%, 4/17/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 5,379,500                                                                     |
|   | 5,351,000            | 0.00             |                                                                                                                                      | Tiers Trust, Floating Rate Note, 10/15/97 (144A) (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,926,474                                                                     |
|   | 2,200,000            |             |                                                                                                                                      | Vnesheconombank Via VEB Finance Plc, 5.942%, 11/21/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 2,054,272  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 103,544,931                                                                   |
|   |                 |             |                                                                                                                                      | Multi-Sector Holdings - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 4,710,000            |             |                                                                                                                                      | GrupoSura Finance SA, 5.7%, 5/18/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 4,916,062                                                                     |
|   | 11,820,000           |             |                                                                                                                                      | IPIC GMTN, Ltd., 5.5%, 3/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 13,250,811                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 18,166,873                                                                    |
|   |                 |             |                                                                                                                                      | Specialized Finance - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 3,200,000            |             |                                                                                                                                      | Aviation Capital Group Corp., 4.625%, 1/31/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,264,000                                                                     |
|   | 12,763,000           |             |                                                                                                                                      | Aviation Capital Group Corp., 6.75%, 4/6/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 14,294,560                                                                    |
|   | 7,180,000            |             |                                                                                                                                      | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros, 5.5%, 7/16/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 7,054,350  |
|   | 12,855,000           |             |                                                                                                                                      | Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 14,108,504                                                                    |
|   | 1,750,000            |             |                                                                                                                                      | Fly Leasing, Ltd., 6.375%, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 1,741,250                                                                     |
|   | 4,183,000            |             |                                                                                                                                      | Fly Leasing, Ltd., 6.75%, 12/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 4,286,948                                                                     |
|   | 4,695,000            |             |                                                                                                                                      | Nationstar Mortgage LLC, 6.5%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 4,061,175                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 48,810,787                                                                    |
|   |                 |             |                                                                                                                                      | Consumer Finance - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 3,500,000            |             |                                                                                                                                      | Ally Financial, Inc., 3.6%, 5/21/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 3,500,000                                                                     |
|   | 1,750,000            |             |                                                                                                                                      | Ally Financial, Inc., 4.625%, 3/30/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 1,728,125                                                                     |
|   | 7,185,000            |             |                                                                                                                                      | Ally Financial, Inc., 5.75%, 11/20/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 7,274,812                                                                     |
|   | 18,800,000           | 5.55             |                                                                                                                                      | Capital One Financial Corp., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 18,706,000                                                                    |
| INR    | 358,950,000          |             |                                                                                                                                      | International Finance Corp., 6.3%, 11/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 5,063,282                                                                     |
| INR    | 1,036,140,000        |             |                                                                                                                                      | International Finance Corp., 7.75%, 12/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 15,708,396                                                                    |
| INR    | 1,040,880,000        |             |                                                                                                                                      | International Finance Corp., 8.25%, 6/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 16,474,575                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 68,455,190                                                                    |
|   |                 |             |                                                                                                                                      | Asset Management & Custody Banks - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 7,925,000            |             |                                                                                                                                      | Blackstone Holdings Finance Co LLC, 5.0%, 6/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 8,091,290                                                                     |
|   | 10,425,000           |             |                                                                                                                                      | Blackstone Holdings Finance Co. LLC, 6.25%, 8/15/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 12,317,961                                                                    |
|   | 19,000               |             |                                                                                                                                      | Eaton Vance Corp., 6.5%, 10/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 20,288                                                                        |
|   | 21,530,000           |             |                                                                                                                                      | KKR Group Finance Co. II LLC, 5.5%, 2/1/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 22,446,231                                                                    |
|   | 6,310,000            |             |                                                                                                                                      | Legg Mason, Inc., 5.625%, 1/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 6,267,767                                                                     |
|   | 10,150,000           |             |                                                                                                                                      | Neuberger Berman Group LLC, 4.875%, 4/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 8,558,257                                                                     |
|   | 5,450,000            | 4.50             |                                                                                                                                      | The Bank of New York Mellon Corp., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 4,986,750  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 62,688,544                                                                    |
|   |                 |             |                                                                                                                                      | Investment Banking & Brokerage - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 5,945,000            |             |                                                                                                                                      | Macquarie Group, Ltd., 6.0%, 1/14/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 6,561,425                                                                     |
|   | 7,750,000            |             |                                                                                                                                      | Macquarie Group, Ltd., 6.25%, 1/14/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 8,649,860                                                                     |
|   | 13,200,000           |             |                                                                                                                                      | Morgan Stanley, 4.1%, 5/22/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 13,334,653                                                                    |
|   | 4,400,000            |             |                                                                                                                                      | Morgan Stanley, 4.875%, 11/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 4,669,509                                                                     |
|   | 1,750,000            | 5.55             |                                                                                                                                      | Morgan Stanley, Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,750,000                                                                     |
| NZD    | 13,855,000           |             |                                                                                                                                      | The Goldman Sachs Group, Inc., 5.2%, 12/17/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 9,780,353                                                                     |
|   | 16,775,000           |             |                                                                                                                                      | UBS AG, 7.625%, 8/17/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 19,123,500                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 63,869,300                                                                    |
|   |                 |             |                                                                                                                                      | Diversified Capital Markets - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 14,275,000           | 2.01             |                                                                                                                                      | ICBCIL Finance Co, Ltd., Floating Rate Note, 11/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 14,263,309                                                                    |
|   |                 |             |                                                                                                                                      | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 379,798,934                                                                   |
|   |                 |             |                                                                                                                                      | Insurance - 7.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Insurance Brokers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 16,900,000           |             |                                                                                                                                      | Brown & Brown, Inc., 4.2%, 9/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 16,687,990                                                                    |
|   |                 |             |                                                                                                                                      | Life & Health Insurance - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 11,240,000           | 5.62             |                                                                                                                                      | Prudential Financial, Inc., Floating Rate Note, 6/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 11,492,900                                                                    |
|   | 5,969,000            | 8.88             |                                                                                                                                      | Prudential Financial, Inc., Floating Rate Note, 6/15/68                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 6,715,125                                                                     |
|   | 7,575,000            | 5.88             |                                                                                                                                      | Prudential Financial, Inc., Floating Rate Note, 9/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 7,874,212                                                                     |
|   | 3,470,000            |             |                                                                                                                                      | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 4,290,235  |
| GBP    | 1,263,147            |             |                                                                                                                                      | TIG FINCO Plc, 8.75%, 4/2/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,638,008                                                                     |
| GBP    | 222,908              | 8.50             |                                                                                                                                      | TIG FINCO Plc, Floating Rate Note, 3/2/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 336,853                                                                       |
|   | 5,025,000            | 5.65             |                                                                                                                                      | Voya Financial, Inc., Floating Rate Note, 5/15/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 4,949,625                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 37,296,958                                                                    |
|   |                 |             |                                                                                                                                      | Multi-line Insurance - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 10,060,000           |             |                                                                                                                                      | AXA SA, 8.6%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 13,518,115                                                                    |
|   | 11,050,000           |             |                                                                                                                                      | Liberty Mutual Insurance Co., 7.697% (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 13,639,081                                                                    |
|   | 3,800,000            |             |                                                                                                                                      | Liberty Mutual Insurance Co., 8.5%, 5/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 4,720,295                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 31,877,491                                                                    |
|   |                 |             |                                                                                                                                      | Property & Casualty Insurance - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 10,110,000           |             |                                                                                                                                      | Delphi Financial Group, Inc., 7.875%, 1/31/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 11,753,411                                                                    |
|   | 6,100,000            | 6.75             |                                                                                                                                      | Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 6,109,150  |
|   | 3,400,000            | 9.25             |                                                                                                                                      | Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 3,413,260  |
|   | 8,965,000            |             |                                                                                                                                      | OneBeacon US Holdings, Inc., 4.6%, 11/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 9,010,757                                                                     |
|   | 4,700,000            |             |                                                                                                                                      | The Allstate Corp., 5.95%, 4/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 5,666,748                                                                     |
|   | 12,600,000           |             |                                                                                                                                      | The Hanover Insurance Group, Inc., 6.375%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 14,277,199                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 50,230,525                                                                    |
|   |                 |             |                                                                                                                                      | Reinsurance - 5.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 3,350,000            | 3.66             |                                                                                                                                      | Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 3,375,795                                                                     |
|   | 2,200,000            | 6.12             |                                                                                                                                      | Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,253,020                                                                     |
|   | 8,128,729            |             |                                                                                                                                      | Altair Re, Variable Rate Notes, 6/30/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 569,011                                                                       |
|   | 5,287,778            |             |                                                                                                                                      | Altair Re, Variable Rate Notes, 6/30/17 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 6,272,362                                                                     |
|   | 2,133,500            |             |                                                                                                                                      | Arlington Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 8/31/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,322,955  |
|   | 500,000              | 3.52             |                                                                                                                                      | Atlas IX Capital DAC, Floating Rate Note, 1/17/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 509,050    |
|   | 2,753,000            |             |                                                                                                                                      | Berwick Segregated Account (Kane SAC Ltd.), Variable Rate Note, 1/22/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 3,211,374  |
|   | 5,650,000            | 4.56             |                                                                                                                                      | Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 5,634,745  |
|   | 4,433,000            | 5.25             |                                                                                                                                      | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 4,431,227                                                                     |
|   | 5,300,000            | 6.99             |                                                                                                                                      | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 5,420,310                                                                     |
|   | 10,280,000           |             |                                                                                                                                      | Carnoustie Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 2/19/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 11,960,780 |
|   | 3,189,193            |             |                                                                                                                                      | Clarendon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/15/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 3,187,917  |
|   | 850,000              | 9.23             |                                                                                                                                      | East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 859,860    |
|   | 7,200,000            |             |                                                                                                                                      | Eden Re II, Ltd., Variable Rate Notes, 4/19/18 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 7,740,000                                                                     |
|   | 7,100,000            | 10.22            |                                                                                                                                      | Everglades Re, Ltd., Floating Rate Note, 3/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 7,212,890  |
|   | 11,510,100           |             |                                                                                                                                      | Exeter Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 12,600,106 |
|   | 2,550,000            |             |                                                                                                                                      | Fairfield Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 2/2/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 2,550,000  |
|   | 6,150,000            | 7.41             |                                                                                                                                      | Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 6,193,050                                                                     |
|   | 3,900,000            | 2.20             |                                                                                                                                      | Golden State Re II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 3,871,920  |
|   | 16,776,500           |             |                                                                                                                                      | Gullane Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/22/17 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 19,093,335 |
|   | 2,943,500            |             |                                                                                                                                      | Hereford Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/7/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 3,500,116  |
|   | 500,000              | 4.56             |                                                                                                                                      | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 504,400                                                                       |
|   | 3,350,000            | 4.08             |                                                                                                                                      | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 3,371,440                                                                     |
|   | 6,190,000            | 3.74             |                                                                                                                                      | Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 6,132,433  |
|   | 1,300,000            | 4.49             |                                                                                                                                      | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 1,282,840  |
|   | 925,000              | 4.74             |                                                                                                                                      | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 919,358    |
|   | 2,260,378            |             |                                                                                                                                      | Lahinch Re, Variable Rate Notes, 6/15/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 2,283,660                                                                     |
|   | 12,050,000           | 4.30             |                                                                                                                                      | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 12,105,430 |
|   | 5,950,000            | 3.75             |                                                                                                                                      | Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 6,010,095  |
|   | 5,600,000            |             |                                                                                                                                      | Lorenz Re, Ltd., Variable Rate Notes, 3/31/18 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 6,242,880                                                                     |
|   | 3,800,000            | 2.00             |                                                                                                                                      | Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 3,791,640  |
|   | 5,825,133            |             |                                                                                                                                      | Muirfield Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 6,549,780  |
|   | 14,100,000           |             |                                                                                                                                      | Pangaea Re, Series 2015-1, Principal at Risk Notes, 2/1/19 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 16,399,710 |
|   | 14,520,000           |             |                                                                                                                                      | Pangaea Re, Series 2015-2, Principal at Risk Notes, 11/30/19 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 15,385,392 |
|   | 11,730,000           |             |                                                                                                                                      | Pangaea Re., Variable Rate Notes, 7/1/18 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 211,140                                                                       |
|   | 7,017,560            |             |                                                                                                                                      | PI-1, Series C - 2014 (Kane SAC Ltd.), Variable Rate Notes, 7/7/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 7,034,402  |
|   | 3,554,000            |             |                                                                                                                                      | Prestwick Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 7/1/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 3,967,330  |
|   | 1,000,000            | 3.71             |                                                                                                                                      | Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 988,100                                                                       |
|   | 2,300,000            | 4.75             |                                                                                                                                      | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,313,570  |
|   | 4,500,000            | 8.25             |                                                                                                                                      | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 4,582,800  |
|   | 250,000              | 5.30             |                                                                                                                                      | Residential Reinsurance 2013, Ltd., Floating Rate Note, 12/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 248,500    |
|   | 3,500,000            | 2.99             |                                                                                                                                      | Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 3,418,100  |
|   | 7,650,000            | 4.00             |                                                                                                                                      | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 7,627,815                                                                     |
|   | 3,000,000            | 3.49             |                                                                                                                                      | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,975,100                                                                     |
|   | 3,500,000            | 4.05             |                                                                                                                                      | Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 3,490,900                                                                     |
|   | 3,500,000            |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 12/1/20 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 3,516,450                                                                     |
|   | 20,917               |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 12/1/18 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 90,652                                                                        |
|   | 21,907               |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 12/1/19 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 703,353                                                                       |
|   | 2,500,000            |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,999,500                                                                     |
|   | 4,700,000            |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 5,268,230                                                                     |
|   | 3,270                |             |                                                                                                                                      | Sector Re V, Ltd., Variable Rate Notes, 3/30/19  (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 33,505                                                                        |
|   | 3,500,000            |             |                                                                                                                                      | Silverton Re, Ltd., Variable Rate Notes, 9/16/16 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 32,900                                                                        |
|   | 4,500,000            |             |                                                                                                                                      | Silverton Re, Ltd., Variable Rate Notes, 9/18/17 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 5,805,000                                                                     |
|   | 4,500,000            |             |                                                                                                                                      | Silverton Re, Ltd., Variable Rate Notes, 9/18/18 (144A) (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 4,500,000                                                                     |
|   | 7,246,500            |             |                                                                                                                                      | St. Andrews Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/22/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 8,157,385  |
|   | 14,500,000           | 8.66             |                                                                                                                                      | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 14,803,050 |
| JPY    | 603,196,780          |             |                                                                                                                                      | Tralee Segregated Account (Kane SAC Ltd.), Variable Rate Note 7/15/17 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 5,011,752  |
|   | 6,010,717            |             |                                                                                                                                      | Troon Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/12/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 6,549,878  |
|   | 2,024,000            |             |                                                                                                                                      | Turnberry Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 1/15/16 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 2,061,849  |
|   | 12,033,893           |             |                                                                                                                                      | Versutus Ltd., Series 2015-A, Variable Rate Notes, 12/31/17 (f)(g)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 14,055,587 |
|   | 18,400,000           | 0.00             |                                                                                                                                      | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 18,547,200 |
|   | 2,200,000            | 2.75             |                                                                                                                                      | Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 2,211,880  |
|   | 800,000              | 2.50             |                                                                                                                                      | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 804,320    |
|   | 950,000              | 1.75             |                                                                                                                                      | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 938,315    |
|   | 6,215,000            | 5.88             |                                                                                                                                      | Wilton Re Finance LLC, Floating Rate Note, 3/30/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,520,716                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 333,218,160                                                                   |
|   |                 |             |                                                                                                                                      | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 469,311,124                                                                   |
|   |                 |             |                                                                                                                                      | Real Estate - 1.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      | Diversified REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 7,300,000            |             |                                                                                                                                      | DCT Industrial Operating Partnership LP, 4.5%, 10/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 7,305,344                                                                     |
|   | 530,000              |             |                                                                                                                                      | MPT Operating Partnership LP, 5.5%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 527,350                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,832,694                                                                     |
|   |                 |             |                                                                                                                                      | Office REIT - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 100,000              |             |                                                                                                                                      | Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 98,309                                                                        |
|   | 4,802,000            |             |                                                                                                                                      | Alexandria Real Estate Equities, Inc., 3.9%, 6/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,742,666                                                                     |
|   | 11,010,000           |             |                                                                                                                                      | Alexandria Real Estate Equities, Inc., 4.6%, 4/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 11,422,258                                                                    |
|   | 9,060,000            |             |                                                                                                                                      | Highwoods Realty LP, 3.625%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 8,777,527                                                                     |
|   | 11,130,000           |             |                                                                                                                                      | Piedmont Operating Partnership LP, 3.4%, 6/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 10,436,334                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 35,477,094                                                                    |
|   |                 |             |                                                                                                                                      | Healthcare REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 3,370,000            |             |                                                                                                                                      | Healthcare Realty Trust, Inc., 5.75%, 1/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 3,717,194                                                                     |
|   | 3,150,000            |             |                                                                                                                                      | Welltower, Inc., 5.25%, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 3,407,075                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,124,269                                                                     |
|   |                 |             |                                                                                                                                      | Residential REIT - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 13,058,000           |             |                                                                                                                                      | UDR, Inc., 4.0%, 10/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 13,182,377                                                                    |
|   |                 |             |                                                                                                                                      | Specialized REIT - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 7,000,000            |             |                                                                                                                                      | Communications Sales & Leasing, Inc., 6.0%, 4/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 6,615,000                                                                     |
|   | 3,205,000            |             |                                                                                                                                      | CubeSmart LP, 4.8%, 7/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 3,412,931                                                                     |
|   | 9,205,000            |             |                                                                                                                                      | DuPont Fabros Technology LP, 5.875%, 9/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 9,573,200                                                                     |
|   | 5,075,000            |             |                                                                                                                                      | Equinix, Inc., 5.375%, 1/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 5,201,875                                                                     |
|   | 6,275,000            |             |                                                                                                                                      | Equinix, Inc., 5.75%, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,416,188                                                                     |
|   | 2,575,000            |             |                                                                                                                                      | Equinix, Inc., 5.875%, 1/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,652,250                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 33,871,444                                                                    |
|   |                 |             |                                                                                                                                      | Real Estate Operating Companies - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 50,000               |             |                                                                                                                                      | IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 49,500                                                                        |
|   |                 |             |                                                                                                                                      | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 97,537,378                                                                    |
|   |                 |             |                                                                                                                                      | Software & Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   |                 |             |                                                                                                                                      | Data Processing & Outsourced Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 13,230,000           |             |                                                                                                                                      | Audatex North America, Inc., 6.0%, 6/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 13,329,225                                                                    |
|   |                 |             |                                                                                                                                      | Home Entertainment Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 6,015,000            |             |                                                                                                                                      | Activision Blizzard, Inc., 5.625%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 6,300,712                                                                     |
|   |                 |             |                                                                                                                                      | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 19,629,937                                                                    |
|   |                 |             |                                                                                                                                      | Technology Hardware & Equipment - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   |                 |             |                                                                                                                                      | Communications Equipment - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 1,500,000            |             |                                                                                                                                      | Brocade Communications Systems, Inc., 4.625%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 1,425,000                                                                     |
|   |                 |             |                                                                                                                                      | Computer Hardware Storage & Peripherals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 10,635,000           |             |                                                                                                                                      | NCR Corp., 6.375%, 12/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 10,475,475                                                                    |
|   |                 |             |                                                                                                                                      | Electronic Manufacturing Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 4,615,000            |             |                                                                                                                                      | Flextronics International, Ltd., 4.625%, 2/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 4,771,610                                                                     |
|   | 15,200,000           |             |                                                                                                                                      | Flextronics International, Ltd., 5.0%, 2/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 15,409,000                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 20,180,610                                                                    |
|   |                 |             |                                                                                                                                      | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 32,081,085                                                                    |
|   |                 |             |                                                                                                                                      | Semiconductors & Semiconductor Equipment - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Semiconductors - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 4,215,000            |             |                                                                                                                                      | Advanced Micro Devices, Inc., 7.0%, 7/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 2,739,750                                                                     |
|   | 55,254               |             |                                                                                                                                      | LDK Solar Co., Ltd., 5.535%, 12/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 8,288                                                                         |
|   | 25,090,000           |             |                                                                                                                                      | Intel Corp., 4.9%, 7/29/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 26,519,177                                                                    |
|   | 14,145,000           |             |                                                                                                                                      | Micron Technology, Inc., 5.25%, 8/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 12,695,138                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 41,962,353                                                                    |
|   |                 |             |                                                                                                                                      | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 41,962,353                                                                    |
|   |                 |             |                                                                                                                                      | Telecommunication Services - 2.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Integrated Telecommunication Services - 1.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 7,100,000            |             |                                                                                                                                      | AT&T, Inc., 4.75%, 5/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 6,500,732                                                                     |
|   | 4,100,000            |             |                                                                                                                                      | CenturyLink, Inc., 6.45%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,997,500                                                                     |
|   | 3,510,000            |             |                                                                                                                                      | CenturyLink, Inc., 7.6%, 9/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 2,685,150                                                                     |
|   | 3,100,000            |             |                                                                                                                                      | CenturyLink, Inc., 7.65%, 3/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 2,371,500                                                                     |
|   | 7,371,000            |             |                                                                                                                                      | Cincinnati Bell, Inc., 8.375%, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 7,536,848                                                                     |
|   | 285,000              |             |                                                                                                                                      | Frontier Communications Corp., 10.5%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 283,931                                                                       |
|   | 1,535,000            |             |                                                                                                                                      | Frontier Communications Corp., 7.125%, 1/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,323,938                                                                     |
|   | 9,555,000            |             |                                                                                                                                      | Frontier Communications Corp., 8.5%, 4/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 9,578,888                                                                     |
|   | 10,355,000           |             |                                                                                                                                      | Frontier Communications Corp., 8.75%, 4/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 9,578,375                                                                     |
|   | 285,000              |             |                                                                                                                                      | Frontier Communications Corp., 8.875%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 288,562                                                                       |
|   | 11,000,000           |             |                                                                                                                                      | GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 10,667,140                                                                    |
|   | 3,052,412            |             |                                                                                                                                      | GTP Cellular Sites LLC, 3.721%, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 3,061,081                                                                     |
|   | 4,200,000            |             |                                                                                                                                      | Level 3 Financing, Inc., 5.375%, 1/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 4,221,000                                                                     |
|   | 3,200,000            |             |                                                                                                                                      | Ooredoo International Finance, Ltd., 3.875%, 1/31/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 3,035,226                                                                     |
| EURO   | 2,625,000            |             |                                                                                                                                      | Telenet Finance III Luxembourg SCA, 6.625%, 2/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,942,722                                                                     |
|   | 9,215,000            |             |                                                                                                                                      | Verizon Communications, Inc., 5.012%, 8/21/54                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 8,437,171                                                                     |
|   | 25,616,000           |             |                                                                                                                                      | Verizon Communications, Inc., 6.55%, 9/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 30,411,571                                                                    |
|   | 9,870,000            |             |                                                                                                                                      | Windstream Services LLC, 6.375%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 7,106,400                                                                     |
|   | 8,680,000            |             |                                                                                                                                      | Windstream Services LLC, 7.75%, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 7,312,900                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 121,340,635                                                                   |
|   |                 |             |                                                                                                                                      | Wireless Telecommunication Services - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 3,750,000            |             |                                                                                                                                      | Crown Castle Towers LLC, 3.222%, 5/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 3,699,975                                                                     |
|   | 6,850,000            |             |                                                                                                                                      | Crown Castle Towers LLC, 4.883%, 8/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 7,322,797                                                                     |
|   | 3,135,000            |             |                                                                                                                                      | Crown Castle Towers LLC, 6.113%, 1/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 3,419,203                                                                     |
|   | 7,680,000            |             |                                                                                                                                      | Digicel, Ltd., 6.0%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 6,470,400                                                                     |
|   | 9,950,000            |             |                                                                                                                                      | SBA Tower Trust, 3.869%, 10/15/49 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 9,831,129                                                                     |
|   | 10,375,000           |             |                                                                                                                                      | Sprint Corp., 7.25%, 9/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 7,830,012                                                                     |
|   | 4,150,000            |             |                                                                                                                                      | T-Mobile USA, Inc., 6.542%, 4/28/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 4,326,375                                                                     |
|   | 4,915,000            |             |                                                                                                                                      | T-Mobile USA, Inc., 6.625%, 11/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 5,109,093                                                                     |
|   | 11,600,000           |             |                                                                                                                                      | VimpelCom Holdings BV, 7.5043%, 3/1/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 11,600,000                                                                    |
| RUB    | 193,400,000          |             |                                                                                                                                      | VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,508,256                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 62,117,240                                                                    |
|   |                 |             |                                                                                                                                      | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 183,457,875                                                                   |
|   |                 |             |                                                                                                                                      | Utilities - 2.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Electric Utilities - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 6,625,000            |             |                                                                                                                                      | ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 6,293,750                                                                     |
|   | 5,720,000            |             |                                                                                                                                      | Dubai Electricity & Water Authority, 7.375%, 10/21/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 6,769,849                                                                     |
|   | 23,175,000           |             |                                                                                                                                      | Electricite de France SA, 6.0%, 1/22/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 22,676,274                                                                    |
|   | 5,285,000            | 5.25             |                                                                                                                                      | Electricite de France SA, Floating Rate Note (Perpetual) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 4,967,900                                                                     |
|   | 9,485,000            |             |                                                                                                                                      | Empresa Electrica Angamos SA, 4.875%, 5/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 8,461,445                                                                     |
|   | 215,000              |             |                                                                                                                                      | Enel Finance International NV, 5.125%, 10/7/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 232,297                                                                       |
|   | 10,830,000           | 8.13             |                                                                                                                                      | Enel S.p.A., Floating Rate Note, 9/24/73 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 12,332,662                                                                    |
|   | 310,652              |             |                                                                                                                                      | FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 304,439                                                                       |
|   | 5,000,000            |             |                                                                                                                                      | Israel Electric Corp., Ltd., 5.625%, 6/21/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 5,265,400                                                                     |
|   | 4,150,000            |             |                                                                                                                                      | Israel Electric Corp., Ltd., 6.7%, 2/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 4,331,770                                                                     |
|   | 2,725,000            |             |                                                                                                                                      | Israel Electric Corp., Ltd., 7.25%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 3,020,150                                                                     |
|   | 1,330,000            |             |                                                                                                                                      | Israel Electric Corp., Ltd., 9.375%, 1/28/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 1,620,605                                                                     |
|   | 85,000               |             |                                                                                                                                      | Nevada Power Co., 6.5%, 8/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 94,332                                                                        |
|   | 3,725,000            |             |                                                                                                                                      | Public Service Co. of New Mexico, 7.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 4,168,476                                                                     |
|   | 8,675,000            | 6.25             |                                                                                                                                      | Southern California Edison Co., Floating Rate Note (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 9,557,681                                                                     |
|   | 10,935,000           |             |                                                                                                                                      | Talen Energy Supply LLC, 4.625%, 7/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,201,250                                                                     |
|   | 9,570,000            |             |                                                                                                                                      | Talen Energy Supply LLC, 6.5%, 6/1/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 6,316,200                                                                     |
|   | 6,140,000            |             |                                                                                                                                      | TerraForm Power, 9.75%, 8/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 4,896,650                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 109,511,130                                                                   |
|   |                 |             |                                                                                                                                      | Gas Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 3,975,000            |             |                                                                                                                                      | DCP Midstream Operating LP, 5.6%, 4/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 2,414,105                                                                     |
|   | 1,965,000            |             |                                                                                                                                      | Nakilat, Inc., 6.067%, 12/31/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,157,570                                                                     |
|   | 3,714,151            |             |                                                                                                                                      | Nakilat, Inc., 6.267%, 12/31/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 4,087,423                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,659,098                                                                     |
|   |                 |             |                                                                                                                                      | Multi-Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 18,225,000           |             |                                                                                                                                      | Consolidated Edison Co. of New York, Inc., 4.625%, 12/1/54                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 17,932,507                                                                    |
|   | 2,474,139            |             |                                                                                                                                      | Ormat Funding Corp., 8.25%, 12/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 2,474,139                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 20,406,646                                                                    |
|   |                 |             |                                                                                                                                      | Independent Power Producers & Energy Traders - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 10,000,000           |             |                                                                                                                                      | AES Corp., 5.5%, 4/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 8,825,000                                                                     |
|   | 1,218,079            |             |                                                                                                                                      | Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,304,865                                                                     |
|   | 6,100,000            |             |                                                                                                                                      | Instituto Costarricense de Electricidad, 6.375%, 5/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 4,575,000                                                                     |
|   | 8,380,000            |             |                                                                                                                                      | Instituto Costarricense de Electricidad, 6.95%, 11/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,348,575                                                                     |
|   | 2,560,308            |             |                                                                                                                                      | Kiowa Power Partners LLC, 5.737%, 3/30/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 2,701,125                                                                     |
|   | 7,725,000            |             |                                                                                                                                      | NRG Energy, Inc., 6.25%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 6,490,545                                                                     |
|   | 2,496,953            |             |                                                                                                                                      | Panoche Energy Center LLC, 6.885%, 7/31/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 2,871,448                                                                     |
|   | 7,850,000            |             |                                                                                                                                      | Star Energy Geothermal Wayang Windu, Ltd., 6.125%, 3/27/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 7,426,100  |
|   | 4,130,000            |             |                                                                                                                                      | TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 3,417,575                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 45,960,233                                                                    |
|   |                 |             |                                                                                                                                      | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 184,537,107                                                                   |
|   |                 |             |                                                                                                                                      | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $3,131,205,986)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 2,965,711,439                                                                 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 16.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 4,451,524            |             |                                                                                                                                      | Fannie Mae, 3.5%, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 4,603,331                                                                     |
|   | 1,745,954            |             |                                                                                                                                      | Fannie Mae, 3.5%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,804,212                                                                     |
|   | 807,119              |             |                                                                                                                                      | Fannie Mae, 3.5%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 836,073                                                                       |
|   | 382,411              |             |                                                                                                                                      | Fannie Mae, 3.5%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 396,136                                                                       |
|   | 1,102,916            |             |                                                                                                                                      | Fannie Mae, 3.5%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,142,499                                                                     |
|   | 37,862               |             |                                                                                                                                      | Fannie Mae, 3.5%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 39,221                                                                        |
|   | 1,483,026            |             |                                                                                                                                      | Fannie Mae, 3.5%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,536,249                                                                     |
|   | 1,647,010            |             |                                                                                                                                      | Fannie Mae, 3.5%, 6/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,702,756                                                                     |
|   | 18,921,440           |             |                                                                                                                                      | Fannie Mae, 3.5%, 8/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 19,552,094                                                                    |
|   | 36,448,202           |             |                                                                                                                                      | Fannie Mae, 3.5%, 8/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 37,671,411                                                                    |
|   | 1,013,349            |             |                                                                                                                                      | Fannie Mae, 4.0%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,075,081                                                                     |
|   | 2,800,315            |             |                                                                                                                                      | Fannie Mae, 4.0%, 1/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,970,797                                                                     |
|   | 88,331               |             |                                                                                                                                      | Fannie Mae, 4.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 93,506                                                                        |
|   | 43,205               |             |                                                                                                                                      | Fannie Mae, 4.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 45,745                                                                        |
|   | 5,052,119            |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,377,168                                                                     |
|   | 92,256               |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 97,657                                                                        |
|   | 658,177              |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 696,705                                                                       |
|   | 210,386              |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 222,702                                                                       |
|   | 194,183              |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 205,550                                                                       |
|   | 23,279               |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 24,641                                                                        |
|   | 674,395              |             |                                                                                                                                      | Fannie Mae, 4.0%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 714,174                                                                       |
|   | 2,423,432            |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,570,977                                                                     |
|   | 15,096               |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 15,990                                                                        |
|   | 747,571              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 792,282                                                                       |
|   | 7,648,401            |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 8,126,397                                                                     |
|   | 2,661,738            |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,839,524                                                                     |
|   | 181,001              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 191,596                                                                       |
|   | 232,187              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 245,778                                                                       |
|   | 308,835              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 326,914                                                                       |
|   | 639,766              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 677,217                                                                       |
|   | 691,773              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 732,268                                                                       |
|   | 517,910              |             |                                                                                                                                      | Fannie Mae, 4.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 548,228                                                                       |
|   | 69,824               |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 73,911                                                                        |
|   | 17,066               |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 18,218                                                                        |
|   | 5,463,468            |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,849,549                                                                     |
|   | 20,593,188           |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 21,846,982                                                                    |
|   | 5,884,146            |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,242,440                                                                     |
|   | 85,786               |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 90,862                                                                        |
|   | 13,505               |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 14,329                                                                        |
|   | 1,415,423            |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,505,087                                                                     |
|   | 140,120              |             |                                                                                                                                      | Fannie Mae, 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 148,354                                                                       |
|   | 2,630,436            |             |                                                                                                                                      | Fannie Mae, 4.0%, 2/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,790,702                                                                     |
|   | 2,787,407            |             |                                                                                                                                      | Fannie Mae, 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,971,148                                                                     |
|   | 4,473,004            |             |                                                                                                                                      | Fannie Mae, 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,762,347                                                                     |
|   | 260,130              |             |                                                                                                                                      | Fannie Mae, 4.0%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 276,955                                                                       |
|   | 2,319,104            |             |                                                                                                                                      | Fannie Mae, 4.0%, 4/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,459,741                                                                     |
|   | 3,505,249            |             |                                                                                                                                      | Fannie Mae, 4.0%, 4/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,718,586                                                                     |
|   | 334,856              |             |                                                                                                                                      | Fannie Mae, 4.0%, 5/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 355,256                                                                       |
|   | 11,069,565           |             |                                                                                                                                      | Fannie Mae, 4.0%, 5/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 11,717,549                                                                    |
|   | 238,855              |             |                                                                                                                                      | Fannie Mae, 4.0%, 6/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 253,139                                                                       |
|   | 1,211,473            |             |                                                                                                                                      | Fannie Mae, 4.0%, 6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,282,390                                                                     |
|   | 2,246                |             |                                                                                                                                      | Fannie Mae, 4.0%, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,342                                                                         |
|   | 227,230              |             |                                                                                                                                      | Fannie Mae, 4.0%, 7/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 241,101                                                                       |
|   | 1,271,493            |             |                                                                                                                                      | Fannie Mae, 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,345,923                                                                     |
|   | 19,118,586           |             |                                                                                                                                      | Fannie Mae, 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 20,237,739                                                                    |
|   | 15,586,729           |             |                                                                                                                                      | Fannie Mae, 4.0%, 8/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 16,546,228                                                                    |
|   | 4,310,291            |             |                                                                                                                                      | Fannie Mae, 4.0%, 8/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,562,604                                                                     |
|   | 4,076,688            |             |                                                                                                                                      | Fannie Mae, 4.0%, 8/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,338,975                                                                     |
|   | 744,019              |             |                                                                                                                                      | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 787,572                                                                       |
|   | 9,020,125            |             |                                                                                                                                      | Fannie Mae, 4.0%, 8/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 9,557,530                                                                     |
|   | 779,793              |             |                                                                                                                                      | Fannie Mae, 4.0%, 9/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 827,365                                                                       |
|   | 218,458              |             |                                                                                                                                      | Fannie Mae, 4.0%, 9/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 231,246                                                                       |
|   | 3,661,907            |             |                                                                                                                                      | Fannie Mae, 4.5%, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,963,262                                                                     |
|   | 5,914,965            |             |                                                                                                                                      | Fannie Mae, 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,388,324                                                                     |
|   | 3,430,512            |             |                                                                                                                                      | Fannie Mae, 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,752,842                                                                     |
|   | 1,163,107            |             |                                                                                                                                      | Fannie Mae, 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,267,163                                                                     |
|   | 17,426,493           |             |                                                                                                                                      | Fannie Mae, 4.5%, 12/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 18,859,331                                                                    |
|   | 37,199               |             |                                                                                                                                      | Fannie Mae, 4.5%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 40,262                                                                        |
|   | 2,938,109            |             |                                                                                                                                      | Fannie Mae, 4.5%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,178,692                                                                     |
|   | 8,954,969            |             |                                                                                                                                      | Fannie Mae, 4.5%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 9,671,611                                                                     |
|   | 197,727              |             |                                                                                                                                      | Fannie Mae, 4.5%, 3/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 214,598                                                                       |
|   | 1,006,539            |             |                                                                                                                                      | Fannie Mae, 4.5%, 3/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,089,257                                                                     |
|   | 1,148,918            |             |                                                                                                                                      | Fannie Mae, 4.5%, 3/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,242,171                                                                     |
|   | 8,340                |             |                                                                                                                                      | Fannie Mae, 4.5%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 9,029                                                                         |
|   | 4,901,204            |             |                                                                                                                                      | Fannie Mae, 4.5%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 5,293,434                                                                     |
|   | 16,103,879           |             |                                                                                                                                      | Fannie Mae, 4.5%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 17,514,998                                                                    |
|   | 3,760,517            |             |                                                                                                                                      | Fannie Mae, 4.5%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,069,385                                                                     |
|   | 225,133              |             |                                                                                                                                      | Fannie Mae, 4.5%, 8/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 243,656                                                                       |
|   | 19,570,239           |             |                                                                                                                                      | Fannie Mae, 4.5%, 8/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 21,164,685                                                                    |
|   | 819,415              |             |                                                                                                                                      | Fannie Mae, 4.5%, 9/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 886,593                                                                       |
|   | 10,544,267           |             |                                                                                                                                      | Fannie Mae, 4.5%, 9/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 11,393,581                                                                    |
|   | 1,792,909            |             |                                                                                                                                      | Fannie Mae, 5.0%, 1/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,971,944                                                                     |
|   | 32,035,851           |             |                                                                                                                                      | Fannie Mae, 5.0%, 1/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 35,234,871                                                                    |
|   | 767,701              |             |                                                                                                                                      | Fannie Mae, 5.0%, 10/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 851,259                                                                       |
|   | 41,782,211           |             |                                                                                                                                      | Fannie Mae, 5.0%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 46,064,328                                                                    |
|   | 239,262              |             |                                                                                                                                      | Fannie Mae, 5.0%, 2/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 256,817                                                                       |
|   | 10,218               |             |                                                                                                                                      | Fannie Mae, 5.0%, 4/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 10,733                                                                        |
|   | 578,193              |             |                                                                                                                                      | Fannie Mae, 5.0%, 5/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 635,930                                                                       |
|   | 577,662              |             |                                                                                                                                      | Fannie Mae, 5.0%, 5/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 636,775                                                                       |
|   | 93,224               |             |                                                                                                                                      | Fannie Mae, 5.0%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 97,405                                                                        |
|   | 28,904               |             |                                                                                                                                      | Fannie Mae, 5.0%, 6/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 31,116                                                                        |
|   | 5,180,764            |             |                                                                                                                                      | Fannie Mae, 5.0%, 6/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 5,718,242                                                                     |
|   | 2,978,946            |             |                                                                                                                                      | Fannie Mae, 5.0%, 6/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,285,274                                                                     |
|   | 512,294              |             |                                                                                                                                      | Fannie Mae, 5.0%, 6/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 563,963                                                                       |
|   | 1,192,655            |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,315,042                                                                     |
|   | 3,073,169            |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,389,097                                                                     |
|   | 1,144,016            |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,258,255                                                                     |
|   | 653,446              |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 719,825                                                                       |
|   | 1,197,837            |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,317,450                                                                     |
|   | 2,269,329            |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,503,249                                                                     |
|   | 599,220              |             |                                                                                                                                      | Fannie Mae, 5.0%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 659,056                                                                       |
|   | 1,908,888            |             |                                                                                                                                      | Fannie Mae, 5.0%, 8/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 2,105,468                                                                     |
|   | 15,756,883           |             |                                                                                                                                      | Fannie Mae, 5.0%, 9/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 17,331,011                                                                    |
|   | 223,021              |             |                                                                                                                                      | Fannie Mae, 5.5%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 250,367                                                                       |
|   | 6,232                |             |                                                                                                                                      | Fannie Mae, 5.5%, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 6,659                                                                         |
|   | 388,445              |             |                                                                                                                                      | Fannie Mae, 5.5%, 3/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 414,989                                                                       |
|   | 93,822               |             |                                                                                                                                      | Fannie Mae, 5.5%, 3/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 105,609                                                                       |
|   | 128,314              |             |                                                                                                                                      | Fannie Mae, 5.5%, 4/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 144,306                                                                       |
|   | 90,727               |             |                                                                                                                                      | Fannie Mae, 5.5%, 4/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 101,020                                                                       |
|   | 36,841               |             |                                                                                                                                      | Fannie Mae, 5.5%, 5/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 41,415                                                                        |
|   | 25,025               |             |                                                                                                                                      | Fannie Mae, 5.5%, 6/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 28,132                                                                        |
|   | 59,857               |             |                                                                                                                                      | Fannie Mae, 5.5%, 7/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 67,296                                                                        |
|   | 12,600               |             |                                                                                                                                      | Fannie Mae, 6.0%, 1/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 14,387                                                                        |
|   | 86,747               |             |                                                                                                                                      | Fannie Mae, 6.0%, 1/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 98,842                                                                        |
|   | 2,863                |             |                                                                                                                                      | Fannie Mae, 6.0%, 10/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,256                                                                         |
|   | 5,769                |             |                                                                                                                                      | Fannie Mae, 6.0%, 11/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,510                                                                         |
|   | 56,123               |             |                                                                                                                                      | Fannie Mae, 6.0%, 12/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 64,007                                                                        |
|   | 97,666               |             |                                                                                                                                      | Fannie Mae, 6.0%, 12/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 111,362                                                                       |
|   | 228,749              |             |                                                                                                                                      | Fannie Mae, 6.0%, 12/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 258,850                                                                       |
|   | 1,714                |             |                                                                                                                                      | Fannie Mae, 6.0%, 3/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,958                                                                         |
|   | 7,048                |             |                                                                                                                                      | Fannie Mae, 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 8,048                                                                         |
|   | 7,610                |             |                                                                                                                                      | Fannie Mae, 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 8,591                                                                         |
|   | 324,659              |             |                                                                                                                                      | Fannie Mae, 6.0%, 4/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 367,409                                                                       |
|   | 83,983               |             |                                                                                                                                      | Fannie Mae, 6.0%, 5/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 94,774                                                                        |
|   | 251,022              |             |                                                                                                                                      | Fannie Mae, 6.0%, 6/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 283,396                                                                       |
|   | 19,053               |             |                                                                                                                                      | Fannie Mae, 6.0%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 19,376                                                                        |
|   | 131,185              |             |                                                                                                                                      | Fannie Mae, 6.0%, 7/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 148,455                                                                       |
|   | 13,481               |             |                                                                                                                                      | Fannie Mae, 6.5%, 10/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 15,406                                                                        |
|   | 3,682                |             |                                                                                                                                      | Fannie Mae, 6.5%, 11/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 4,208                                                                         |
|   | 1,150                |             |                                                                                                                                      | Fannie Mae, 6.5%, 2/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,359                                                                         |
|   | 3,673                |             |                                                                                                                                      | Fannie Mae, 6.5%, 3/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,197                                                                         |
|   | 330                  |             |                                                                                                                                      | Fannie Mae, 6.5%, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 377                                                                           |
|   | 1,318                |             |                                                                                                                                      | Fannie Mae, 6.5%, 5/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,506                                                                         |
|   | 268                  |             |                                                                                                                                      | Fannie Mae, 6.5%, 6/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 306                                                                           |
|   | 2,764                |             |                                                                                                                                      | Fannie Mae, 6.5%, 8/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,221                                                                         |
|   | 429                  |             |                                                                                                                                      | Fannie Mae, 7.0%, 2/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 503                                                                           |
|   | 1,193                |             |                                                                                                                                      | Fannie Mae, 7.0%, 5/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,380                                                                         |
|   | 592                  |             |                                                                                                                                      | Fannie Mae, 7.0%, 7/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 629                                                                           |
|   | 889                  |             |                                                                                                                                      | Fannie Mae, 7.5%, 1/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 989                                                                           |
|   | 1,000,005            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 2.5%, 1/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,010,611                                                                     |
|   | 578,455              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 2.5%, 4/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 584,598                                                                       |
|   | 2,617,986            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 3.5%, 10/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 2,700,221                                                                     |
|   | 8,326,208            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 3.5%, 11/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,761,379                                                                     |
|   | 670,631              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 3.5%, 11/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 690,921                                                                       |
|   | 545,051              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 3.5%, 7/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 563,062                                                                       |
|   | 6,045,003            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 12/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 6,395,099                                                                     |
|   | 847,766              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 899,546                                                                       |
|   | 10,755,741           |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 5/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 11,371,860                                                                    |
|   | 14,937,408           |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 15,792,951                                                                    |
|   | 1,786,484            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,895,208                                                                     |
|   | 1,905,342            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,021,202                                                                     |
|   | 1,403,085            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,488,389                                                                     |
|   | 535,216              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 10/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 577,662                                                                       |
|   | 806,756              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 10/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 871,534                                                                       |
|   | 1,090,260            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 1,176,047                                                                     |
|   | 2,789,983            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 11/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 3,004,521                                                                     |
|   | 47,133               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 3/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 50,920                                                                        |
|   | 130,907              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 5/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 141,342                                                                       |
|   | 1,898,376            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 7/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,047,667                                                                     |
|   | 200,286              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 9/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 216,458                                                                       |
|   | 93,887               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 4.5%, 9/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 101,350                                                                       |
|   | 54,351               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 11/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 59,974                                                                        |
|   | 7,611,925            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 11/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 8,340,804                                                                     |
|   | 357,330              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 12/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 383,655                                                                       |
|   | 265,302              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 12/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 292,553                                                                       |
|   | 247,362              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 4/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 265,858                                                                       |
|   | 47,668               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 5/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 52,494                                                                        |
|   | 211,998              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 7/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 232,449                                                                       |
|   | 604,100              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 9/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 659,487                                                                       |
|   | 426,638              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.0%, 9/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 465,744                                                                       |
|   | 2,459                |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.5%, 10/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 2,464                                                                         |
|   | 4,153,264            |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 5.5%, 6/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 4,617,903                                                                     |
|   | 84,630               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 1/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 95,066                                                                        |
|   | 76,748               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 1/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 87,708                                                                        |
|   | 9,335                |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 10/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 10,484                                                                        |
|   | 101,526              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 115,026                                                                       |
|   | 190,104              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 12/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 214,319                                                                       |
|   | 9,650                |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 10,840                                                                        |
|   | 15,748               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 3/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 17,698                                                                        |
|   | 64,679               |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 6/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 66,199                                                                        |
|   | 156,955              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 6/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 176,178                                                                       |
|   | 166,576              |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.0%, 8/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 190,163                                                                       |
|   | 2,320                |             |                                                                                                                                      | Federal Home Loan Mortgage Corp., 6.5%, 9/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,642                                                                         |
|   | 21,077               |             |                                                                                                                                      | Federal National Mortgage Association, 4.0%, 2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 22,318                                                                        |
|   | 770,672              |             |                                                                                                                                      | Federal National Mortgage Association, 5.0%, 12/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 851,231                                                                       |
|   | 34,025,000           |             |                                                                                                                                      | Government National Mortgage Association I, 3.5%, 1/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 35,398,593                                                                    |
|   | 15,018,492           |             |                                                                                                                                      | Government National Mortgage Association I, 3.5%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 15,639,214                                                                    |
|   | 766,707              |             |                                                                                                                                      | Government National Mortgage Association I, 3.5%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 798,407                                                                       |
|   | 13,078,536           |             |                                                                                                                                      | Government National Mortgage Association I, 3.5%, 7/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 13,620,504                                                                    |
|   | 13,459,392           |             |                                                                                                                                      | Government National Mortgage Association I, 3.5%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 14,015,676                                                                    |
|   | 19,811               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 21,033                                                                        |
|   | 12,304               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 13,059                                                                        |
|   | 72,042               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 76,513                                                                        |
|   | 64,315               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 68,260                                                                        |
|   | 19,413               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 20,604                                                                        |
|   | 1,717,976            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,834,330                                                                     |
|   | 2,214,082            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,354,112                                                                     |
|   | 2,658,874            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,826,097                                                                     |
|   | 2,789,312            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,964,732                                                                     |
|   | 292,630              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 310,537                                                                       |
|   | 1,834,860            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,947,443                                                                     |
|   | 38,562               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 40,927                                                                        |
|   | 18,609               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 19,758                                                                        |
|   | 134,914              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 143,231                                                                       |
|   | 13,796               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 14,641                                                                        |
|   | 12,502               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 13,271                                                                        |
|   | 207,599              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 220,364                                                                       |
|   | 27,880               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 29,598                                                                        |
|   | 19,117               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 20,288                                                                        |
|   | 37,928               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 40,249                                                                        |
|   | 7,839                |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 8,319                                                                         |
|   | 10,124               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 10,745                                                                        |
|   | 1,660,829            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,762,646                                                                     |
|   | 113,598              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 120,748                                                                       |
|   | 357,766              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 10/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 379,769                                                                       |
|   | 19,652               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 20,854                                                                        |
|   | 80,331               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 85,258                                                                        |
|   | 289,573              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 307,423                                                                       |
|   | 784,389              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 832,391                                                                       |
|   | 71,610               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 76,543                                                                        |
|   | 16,550               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 17,574                                                                        |
|   | 25,536               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 27,105                                                                        |
|   | 267,937              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 284,413                                                                       |
|   | 16,651               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 17,673                                                                        |
|   | 16,860               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 17,985                                                                        |
|   | 104,284              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 110,830                                                                       |
|   | 26,885               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 28,692                                                                        |
|   | 499,103              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 530,654                                                                       |
|   | 1,754,355            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,864,821                                                                     |
|   | 89,090               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 11/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 94,557                                                                        |
|   | 16,888               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 17,927                                                                        |
|   | 1,831,981            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,945,073                                                                     |
|   | 14,531               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 15,436                                                                        |
|   | 163,021              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 173,101                                                                       |
|   | 25,360               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 26,926                                                                        |
|   | 18,258               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 19,384                                                                        |
|   | 26,514               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 28,144                                                                        |
|   | 695,752              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 742,600                                                                       |
|   | 151,198              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 160,474                                                                       |
|   | 1,159,755            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,232,851                                                                     |
|   | 250,257              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 265,587                                                                       |
|   | 20,148               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 21,400                                                                        |
|   | 686,322              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 728,435                                                                       |
|   | 1,410,611            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,497,787                                                                     |
|   | 29,330               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 31,141                                                                        |
|   | 26,162               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 27,767                                                                        |
|   | 20,160               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 21,394                                                                        |
|   | 334,125              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 354,572                                                                       |
|   | 344,494              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 365,609                                                                       |
|   | 14,945               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 15,862                                                                        |
|   | 360,206              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 384,700                                                                       |
|   | 149,257              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 158,428                                                                       |
|   | 3,033,460            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,219,597                                                                     |
|   | 441,077              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 468,142                                                                       |
|   | 424,034              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 449,990                                                                       |
|   | 374,955              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 398,648                                                                       |
|   | 1,704,315            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,808,612                                                                     |
|   | 211,484              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 224,433                                                                       |
|   | 12,897               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 13,693                                                                        |
|   | 113,030              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 120,076                                                                       |
|   | 160,538              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 170,386                                                                       |
|   | 5,259,849            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,582,647                                                                     |
|   | 8,826,762            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 9,368,328                                                                     |
|   | 283,308              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 302,263                                                                       |
|   | 909,567              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 965,678                                                                       |
|   | 307,273              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 326,095                                                                       |
|   | 254,533              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 270,204                                                                       |
|   | 2,588,708            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,747,556                                                                     |
|   | 17,447               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 18,516                                                                        |
|   | 20,288               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 21,532                                                                        |
|   | 305,985              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 324,748                                                                       |
|   | 32,362               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 34,352                                                                        |
|   | 3,205,834            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,402,017                                                                     |
|   | 19,931               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 21,154                                                                        |
|   | 2,659,627            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,822,492                                                                     |
|   | 1,208,323            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,282,715                                                                     |
|   | 30,050               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 31,899                                                                        |
|   | 330,754              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 351,048                                                                       |
|   | 406,992              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 4/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 431,966                                                                       |
|   | 18,781               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 19,938                                                                        |
|   | 419,017              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 444,741                                                                       |
|   | 158,823              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 168,680                                                                       |
|   | 2,247,623            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,385,496                                                                     |
|   | 288,808              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 306,544                                                                       |
|   | 197,116              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 209,179                                                                       |
|   | 19,256               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 20,640                                                                        |
|   | 658,184              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 698,568                                                                       |
|   | 259,756              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 275,652                                                                       |
|   | 404,653              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 5/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 429,793                                                                       |
|   | 38,344               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 40,708                                                                        |
|   | 13,738               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 14,581                                                                        |
|   | 17,918               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 19,025                                                                        |
|   | 4,959,523            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,264,994                                                                     |
|   | 567,547              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 602,279                                                                       |
|   | 220,155              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 233,661                                                                       |
|   | 191,946              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 203,736                                                                       |
|   | 162,853              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 6/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 172,819                                                                       |
|   | 28,566               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 30,318                                                                        |
|   | 674,501              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 715,778                                                                       |
|   | 394,732              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 418,897                                                                       |
|   | 30,252               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 32,131                                                                        |
|   | 218,563              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 232,098                                                                       |
|   | 98,916               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 104,998                                                                       |
|   | 26,408               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 28,049                                                                        |
|   | 323,844              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 343,807                                                                       |
|   | 261,454              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 278,863                                                                       |
|   | 85,461               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 7/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 91,256                                                                        |
|   | 516,964              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 551,041                                                                       |
|   | 345,159              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 366,327                                                                       |
|   | 10,514               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 11,159                                                                        |
|   | 172,825              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 183,482                                                                       |
|   | 26,233               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 27,842                                                                        |
|   | 3,606                |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,827                                                                         |
|   | 237,226              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 253,044                                                                       |
|   | 1,171,929            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,243,825                                                                     |
|   | 2,807,572            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,980,288                                                                     |
|   | 248,612              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 264,077                                                                       |
|   | 46,977               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 49,865                                                                        |
|   | 301,584              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 320,646                                                                       |
|   | 757,756              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 805,691                                                                       |
|   | 3,072,727            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 8/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,261,261                                                                     |
|   | 124,026              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 131,616                                                                       |
|   | 1,480,897            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,571,543                                                                     |
|   | 521,979              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 554,418                                                                       |
|   | 16,961               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 18,005                                                                        |
|   | 157,500              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 167,213                                                                       |
|   | 74,994               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 79,584                                                                        |
|   | 11,626               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 12,337                                                                        |
|   | 17,023               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 18,072                                                                        |
|   | 14,965               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 15,888                                                                        |
|   | 31,087               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 32,990                                                                        |
|   | 297,978              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 316,246                                                                       |
|   | 207,385              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 220,076                                                                       |
|   | 347,606              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 368,934                                                                       |
|   | 2,726,449            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,893,733                                                                     |
|   | 2,846,681            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,021,717                                                                     |
|   | 7,577,378            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 8,042,305                                                                     |
|   | 6,572,328            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,986,628                                                                     |
|   | 18,956               |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 20,148                                                                        |
|   | 757,188              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 804,228                                                                       |
|   | 329,497              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 349,749                                                                       |
|   | 2,115,196            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,248,254                                                                     |
|   | 1,555,292            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,650,638                                                                     |
|   | 1,252,770            |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,329,636                                                                     |
|   | 287,705              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 305,393                                                                       |
|   | 152,250              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 161,567                                                                       |
|   | 429,589              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 456,766                                                                       |
|   | 159,860              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 169,648                                                                       |
|   | 279,209              |             |                                                                                                                                      | Government National Mortgage Association I, 4.0%, 9/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 297,041                                                                       |
|   | 856,873              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 1/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 937,011                                                                       |
|   | 178,407              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 194,015                                                                       |
|   | 2,572,129            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 11/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,782,382                                                                     |
|   | 24,802               |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 12/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 26,873                                                                        |
|   | 2,451,619            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 3/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,653,200                                                                     |
|   | 134,502              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 145,793                                                                       |
|   | 94,736               |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 4/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 102,190                                                                       |
|   | 1,672,687            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 6/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,807,306                                                                     |
|   | 2,020,770            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,181,471                                                                     |
|   | 2,574,265            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,780,434                                                                     |
|   | 785,016              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 847,642                                                                       |
|   | 5,127,409            |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 8/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,528,728                                                                     |
|   | 251,453              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 274,648                                                                       |
|   | 568,268              |             |                                                                                                                                      | Government National Mortgage Association I, 4.5%, 9/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 619,988                                                                       |
|   | 86,870               |             |                                                                                                                                      | Government National Mortgage Association I, 5.0%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 91,235                                                                        |
|   | 15,795               |             |                                                                                                                                      | Government National Mortgage Association I, 5.0%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 16,590                                                                        |
|   | 146,699              |             |                                                                                                                                      | Government National Mortgage Association I, 5.0%, 6/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 154,736                                                                       |
|   | 567,426              |             |                                                                                                                                      | Government National Mortgage Association I, 5.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 632,182                                                                       |
|   | 663,600              |             |                                                                                                                                      | Government National Mortgage Association I, 5.125%, 10/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 739,658    |
|   | 211,615              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 239,012                                                                       |
|   | 139,467              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 157,007                                                                       |
|   | 24,147               |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 10/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 25,218                                                                        |
|   | 233,273              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 10/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 244,593                                                                       |
|   | 283,545              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 10/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 321,353                                                                       |
|   | 593                  |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 12/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 594                                                                           |
|   | 154,263              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 12/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 171,632                                                                       |
|   | 467,153              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 2/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 525,569                                                                       |
|   | 145,234              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 2/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 161,586                                                                       |
|   | 17                   |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 19                                                                            |
|   | 5,216                |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,245                                                                         |
|   | 128,125              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 3/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 143,481                                                                       |
|   | 124,394              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 3/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 138,399                                                                       |
|   | 281,427              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 3/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 313,114                                                                       |
|   | 188,656              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 4/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 214,526                                                                       |
|   | 132,852              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 6/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 149,734                                                                       |
|   | 115,484              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 131,355                                                                       |
|   | 308,250              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 7/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 350,217                                                                       |
|   | 67,623               |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 70,366                                                                        |
|   | 56,578               |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 58,646                                                                        |
|   | 175,427              |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 182,704                                                                       |
|   | 70,014               |             |                                                                                                                                      | Government National Mortgage Association I, 5.5%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 72,746                                                                        |
|   | 281,910              |             |                                                                                                                                      | Government National Mortgage Association I, 5.75%, 10/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 315,068                                                                       |
|   | 72,629               |             |                                                                                                                                      | Government National Mortgage Association I, 5.75%, 10/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 81,576                                                                        |
|   | 17,825               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 1/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 17,944                                                                        |
|   | 27,983               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 31,399                                                                        |
|   | 119,806              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 137,594                                                                       |
|   | 56,130               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 64,812                                                                        |
|   | 74,535               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 10/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 83,612                                                                        |
|   | 433,310              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 490,100                                                                       |
|   | 6,231                |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 6,286                                                                         |
|   | 1,317                |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,320                                                                         |
|   | 228,735              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 11/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 257,058                                                                       |
|   | 120,647              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 139,392                                                                       |
|   | 93,188               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 107,621                                                                       |
|   | 84,234               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 98,709                                                                        |
|   | 11,360               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 13,004                                                                        |
|   | 53,491               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 61,770                                                                        |
|   | 123                  |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 5/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 123                                                                           |
|   | 158,486              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 182,330                                                                       |
|   | 42,666               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 47,867                                                                        |
|   | 439,402              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 508,555                                                                       |
|   | 42,280               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 43,083                                                                        |
|   | 17,185               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 17,474                                                                        |
|   | 89,237               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 103,084                                                                       |
|   | 252,566              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 293,835                                                                       |
|   | 61,778               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 7/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 63,026                                                                        |
|   | 48,756               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 7/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 49,689                                                                        |
|   | 184,396              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 214,634                                                                       |
|   | 77,846               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 89,703                                                                        |
|   | 586,480              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 7/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 662,735                                                                       |
|   | 124                  |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 8/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 124                                                                           |
|   | 179,601              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 207,241                                                                       |
|   | 13,174               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 9/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 13,207                                                                        |
|   | 106,748              |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 120,750                                                                       |
|   | 54,387               |             |                                                                                                                                      | Government National Mortgage Association I, 6.0%, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 61,791                                                                        |
|   | 11,018               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 1/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 12,606                                                                        |
|   | 5,247                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 6,003                                                                         |
|   | 3,777                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 10/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 4,321                                                                         |
|   | 14,244               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 10/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 16,297                                                                        |
|   | 59,976               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 11/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 70,660                                                                        |
|   | 343                  |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 406                                                                           |
|   | 4,150                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 4,819                                                                         |
|   | 2,079                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,379                                                                         |
|   | 1,970                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,268                                                                         |
|   | 21,371               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 24,451                                                                        |
|   | 3,787                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 6/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 4,332                                                                         |
|   | 3,208                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 6/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,670                                                                         |
|   | 4,929                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 7/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 5,640                                                                         |
|   | 8,742                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 7/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 10,020                                                                        |
|   | 23,160               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 26,498                                                                        |
|   | 3,126                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,576                                                                         |
|   | 36,619               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 41,897                                                                        |
|   | 3,198                |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 8/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,659                                                                         |
|   | 70,746               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 9/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 80,943                                                                        |
|   | 41,076               |             |                                                                                                                                      | Government National Mortgage Association I, 6.5%, 9/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 46,996                                                                        |
|   | 609                  |             |                                                                                                                                      | Government National Mortgage Association I, 7.0%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 689                                                                           |
|   | 448                  |             |                                                                                                                                      | Government National Mortgage Association I, 7.0%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 501                                                                           |
|   | 1,483                |             |                                                                                                                                      | Government National Mortgage Association I, 7.0%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,647                                                                         |
|   | 967                  |             |                                                                                                                                      | Government National Mortgage Association I, 7.0%, 6/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 990                                                                           |
|   | 8,793                |             |                                                                                                                                      | Government National Mortgage Association I, 7.0%, 8/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 9,024                                                                         |
|   | 109                  |             |                                                                                                                                      | Government National Mortgage Association I, 7.5%, 8/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 110                                                                           |
|   | 2,705,627            |             |                                                                                                                                      | Government National Mortgage Association II, 3.5%, 3/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,825,991                                                                     |
|   | 3,221,948            |             |                                                                                                                                      | Government National Mortgage Association II, 3.5%, 4/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,369,153                                                                     |
|   | 1,230,568            |             |                                                                                                                                      | Government National Mortgage Association II, 3.5%, 4/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,284,828                                                                     |
|   | 13,024,855           |             |                                                                                                                                      | Government National Mortgage Association II, 3.5%, 8/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 13,597,839                                                                    |
|   | 10,158,316           |             |                                                                                                                                      | Government National Mortgage Association II, 4.0%, 10/20/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 10,793,987                                                                    |
|   | 542,795              |             |                                                                                                                                      | Government National Mortgage Association II, 4.5%, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 587,818                                                                       |
|   | 1,035,637            |             |                                                                                                                                      | Government National Mortgage Association II, 4.5%, 12/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 1,123,111                                                                     |
|   | 518,137              |             |                                                                                                                                      | Government National Mortgage Association II, 4.5%, 3/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 561,033                                                                       |
|   | 6,066,610            |             |                                                                                                                                      | Government National Mortgage Association II, 4.5%, 9/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 6,608,443                                                                     |
|   | 10,626               |             |                                                                                                                                      | Government National Mortgage Association II, 5.5%, 10/20/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 11,751                                                                        |
|   | 154,964              |             |                                                                                                                                      | Government National Mortgage Association II, 5.5%, 3/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 172,894                                                                       |
|   | 214,200              |             |                                                                                                                                      | Government National Mortgage Association II, 6.0%, 10/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 241,638                                                                       |
|   | 64,083               |             |                                                                                                                                      | Government National Mortgage Association II, 6.0%, 5/20/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 73,665                                                                        |
|   | 306                  |             |                                                                                                                                      | Government National Mortgage Association II, 6.5%, 1/20/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 356                                                                           |
|   | 5,016                |             |                                                                                                                                      | Government National Mortgage Association II, 7.0%, 1/20/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 5,957                                                                         |
|   | 178,368,824          |             |                                                                                                                                      | U.S. Treasury Inflation Indexed Bonds, 0.125%, 7/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 169,401,696                                                                   |
|   | 126,417,902          |             |                                                                                                                                      | U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 110,250,190                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,092,302,202                                                                 |
|   |                 |             |                                                                                                                                      | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $1,093,639,332)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 1,092,302,202                                                                 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | FOREIGN GOVERNMENT BONDS - 5.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 10,915,000           |             |                                                                                                                                      | Africa Finance Corp., 4.375%, 4/29/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 10,945,344                                                                    |
| AUD    | 86,500,000           |             |                                                                                                                                      | Australia Government Bond, 3.25%, 4/21/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 65,192,919                                                                    |
|   | 17,900,000           |             |                                                                                                                                      | Brazil Minas SPE via State of Minas Gerais, 5.333%, 2/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 13,469,750 |
| CNY    | 62,500,000           |             |                                                                                                                                      | China Government Bond, 3.0%, 11/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 9,310,434                                                                     |
| CNY    | 42,500,000           |             |                                                                                                                                      | China Government Bond, 3.38%, 11/21/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 6,363,450                                                                     |
|   | 7,900,000            |             |                                                                                                                                      | Croatia Government International Bond, 5.5%, 4/4/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 8,020,080                                                                     |
|   | 4,865,000            |             |                                                                                                                                      | Ivory Coast Government International Bond, 6.375%, 3/3/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 4,427,539  |
|   | 4,385,000            |             |                                                                                                                                      | Kenya Government International Bond, 5.875%, 6/24/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 4,132,862                                                                     |
| MXN    | 272,040,000          |             |                                                                                                                                      | Mexican Bonos, 6.5%, 6/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 16,269,889                                                                    |
| MXN    | 46,890,000           |             |                                                                                                                                      | Mexican Bonos, 7.5%, 6/3/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,958,431                                                                     |
| MXN    | 328,735,003          |             |                                                                                                                                      | Mexican Udibonos, 2.0%, 6/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 17,857,963                                                                    |
| MXN    | 238,747,294          |             |                                                                                                                                      | Mexican Udibonos, 3.5%, 12/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 14,298,389                                                                    |
|   | 9,860,000            |             |                                                                                                                                      | Namibia International Bonds, 5.25%, 10/29/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 9,169,800                                                                     |
| NZD    | 47,070,000           |             |                                                                                                                                      | New Zealand Government Bond, 4.5%, 4/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 34,809,618                                                                    |
| NOK    | 63,500,000           |             |                                                                                                                                      | Norway Government Bond, 2.0%, 5/24/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 7,517,491                                                                     |
| NOK    | 610,000,000          |             |                                                                                                                                      | Norway Government Bond, 4.25%, 5/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 72,105,254                                                                    |
| NOK    | 118,980,000          |             |                                                                                                                                      | Norway Government Bond, 4.5%, 5/22/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 15,095,373                                                                    |
|   | 3,603,460            |             |                                                                                                                                      | Province of Salta Argentina, 9.5%, 3/16/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,549,408                                                                     |
|   | 1,541,000            |             |                                                                                                                                      | Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,537,148                                                                     |
| AUD    | 20,665,000           |             |                                                                                                                                      | Queensland Treasury Corp., 5.5%, 6/21/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 17,139,269                                                                    |
| RON    | 41,660,000           |             |                                                                                                                                      | Romania Government Bond, 5.85%, 4/26/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 11,549,110                                                                    |
| RON    | 17,400,000           |             |                                                                                                                                      | Romania Government Bond, 5.95%, 6/11/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 4,835,579                                                                     |
| RUB    | 2,007,676,000        |             |                                                                                                                                      | Russian Federal Bond - OFZ, 7.0%, 8/16/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 23,769,396                                                                    |
| RUB    | 25,000               |             |                                                                                                                                      | Russian Federal Bond - OFZ, 7.6%, 7/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 310                                                                           |
|   | 9,470,000            |             |                                                                                                                                      | Sri Lanka Government International Bond, 6.85%, 11/3/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 8,920,522  |
|   | 5,135,000            |             |                                                                                                                                      | Zambia Government International Bond, 5.375%, 9/20/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 3,705,416  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 386,950,744                                                                   |
|   |                 |             |                                                                                                                                      | TOTAL FOREIGN GOVERNMENT BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $445,633,505)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 386,950,744                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | MUNICIPAL BONDS - 3.1% (h)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   |                 |             |                                                                                                                                      | Municipal Airport - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 3,450,000            |             |                                                                                                                                      | Indianapolis Airport Authority, 5.1%, 1/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 3,595,418                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Municipal Development - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 7,050,000            | 5.90             |                                                                                                                                      | Brazos Harbor Industrial Development Corp., Floating Rate Note, 5/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 7,594,754                                                                     |
|   | 7,370,000            |             |                                                                                                                                      | Louisiana Local Government Environmental Facilities & Community Development Authority, 6.75%, 11/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 7,985,690  |
|   | 19,893,000           |             |                                                                                                                                      | New Jersey Economic Development Authority, 2/15/18 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 18,689,076                                                                    |
|   | 8,470,000            |             |                                                                                                                                      | Parish of St. John the Baptist Louisiana, 5.125%, 6/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 8,585,361                                                                     |
|   | 3,700,000            |             |                                                                                                                                      | Selma Industrial Development Board, 6.25%, 11/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 4,281,233                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 47,136,114                                                                    |
|   |                 |             |                                                                                                                                      | Municipal Education - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 2,300,000            |             |                                                                                                                                      | Amherst College, 3.794%, 11/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 2,185,550                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Municipal General - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 17,600,000           |             |                                                                                                                                      | JobsOhio Beverage System, 3.985%, 1/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 18,319,136                                                                    |
|   | 4,480,000            |             |                                                                                                                                      | JobsOhio Beverage System, 4.532%, 1/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 4,740,960                                                                     |
|   | 10,540,000           |             |                                                                                                                                      | New Jersey Transportation Trust Fund Authority, Transportation System-Series A, 5.5%, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 11,415,136 |
|   | 4,585,000            |             |                                                                                                                                      | Texas Municipal Gas Acquisition & Supply Corp. III, 5.0%, 12/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 5,050,882  |
|   | 9,165,000            |             |                                                                                                                                      | Texas Municipal Gas Acquisition & Supply Corp. III, 5.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 10,066,378 |
|   | 7,500,000            |             |                                                                                                                                      | Virginia Commonwealth Transportation Board, 4.0%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 8,190,750                                                                     |
|   | 7,500,000            |             |                                                                                                                                      | Virginia Commonwealth Transportation Board, 4.0%, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 8,149,875                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 65,933,117                                                                    |
|   |                 |             |                                                                                                                                      | Higher Municipal Education - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 4,550,000            |             |                                                                                                                                      | Baylor University, 4.313%, 3/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 4,584,034                                                                     |
|   | 4,550,000            |             |                                                                                                                                      | Massachusetts Health & Educational Facilities Authority, Massachusetts Institute of Technology -Series K, 5.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 6,314,945  |
|   | 4,025,000            |             |                                                                                                                                      | Massachusetts Institute of Technology, 5.6%, 7/1/11                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 4,923,819                                                                     |
|   | 2,550,000            |             |                                                                                                                                      | Permanent University Fund, 5.0%, 7/1/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 3,100,545                                                                     |
|   | 2,210,000            |             |                                                                                                                                      | The University of Texas System, 5.0%, 8/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 2,552,992                                                                     |
|   | 2,800,000            |             |                                                                                                                                      | University of Southern California, 5.25%, 10/1/11                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 3,164,812                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 24,641,147                                                                    |
|   |                 |             |                                                                                                                                      | Municipal Medical - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 3,700,000            |             |                                                                                                                                      | Maryland Health & Higher Educational Facilities Authority, 5.0%, 7/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 4,258,441                                                                     |
|   | 6,550,000            |             |                                                                                                                                      | Massachusetts Development Finance Agency, 5.25%, 4/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 7,581,822                                                                     |
|   | 2,075,000            |             |                                                                                                                                      | Massachusetts Development Finance Agency, Broad Institute -Series A, 5.375%, 4/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 2,381,062  |
|   | 4,250,000            |             |                                                                                                                                      | New Hampshire Health and Education Facilities Authority Act, 6.5%, 1/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 4,942,325  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 19,163,650                                                                    |
|   |                 |             |                                                                                                                                      | Municipal Pollution - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 4,450,000            | 5.20             |                                                                                                                                      | Gulf Coast Waste Disposal Authority, Floating Rate Note, 5/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 4,535,440                                                                     |
|   | 15,970,000           |             |                                                                                                                                      | Port Freeport Texas, 5.95%, 5/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 17,534,741                                                                    |
|   | 1,400,000            | 4.90             |                                                                                                                                      | The Industrial Development Authority of the County of Yavapai, Floating Rate Note, 3/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 1,420,384  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 23,490,565                                                                    |
|   |                 |             |                                                                                                                                      | Municipal Transportation - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 2,620,000            |             |                                                                                                                                      | Port Authority of New York & New Jersey, 4.458%, 10/1/62                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 2,494,659                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Municipal Obligation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 5,440,000            |             |                                                                                                                                      | Washington Suburban Sanitary Commission, 4.0%, 6/1/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 5,779,402                                                                     |
|   | 5,240,000            |             |                                                                                                                                      | Washington Suburban Sanitary Commission, 4.0%, 6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 5,562,941                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 11,342,343                                                                    |
|   |                 |             |                                                                                                                                      | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $184,563,052)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 199,982,563                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | SENIOR FLOATING RATE LOAN INTERESTS - 9.6%**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Energy - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Oil & Gas Drilling - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 4,030,522            | 6.00             |                                                                                                                                      | Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 1,605,490                                                                     |
|   |                 |             |                                                                                                                                      | Integrated Oil & Gas - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 1,007,347            | 4.50             |                                                                                                                                      | Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 1,004,828                                                                     |
|   |                 |             |                                                                                                                                      | Oil & Gas Exploration & Production - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 3,656,667            | 3.50             |                                                                                                                                      | EP Energy LLC, Tranche B-3 Loan, 5/24/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 2,879,625                                                                     |
|   |                 |             |                                                                                                                                      | Oil & Gas Refining & Marketing - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 1,903,136            | 3.75             |                                                                                                                                      | Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 10/3/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 1,910,273                                                                     |
|   |                 |             |                                                                                                                                      | Coal & Consumable Fuels - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,135,833            | 18.15            |                                                                                                                                      | Bumi Resources Tbk PT, Term Loan, 8/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 244,204                                                                       |
|   | 1,392,235            | 8.15             |                                                                                                                                      | Long Haul Holdings, Ltd., Facility B Loan, 11/17/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 299,330                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 543,534                                                                       |
|   |                 |             |                                                                                                                                      | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 7,943,750                                                                     |
|   |                 |             |                                                                                                                                      | Materials - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Commodity Chemicals - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 1,712,164            | 4.50             |                                                                                                                                      | Tronox Pigments Holland BV, New Term Loan, 3/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 1,527,036                                                                     |
|   |                 |             |                                                                                                                                      | Diversified Chemicals - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 557,986              | 4.25             |                                                                                                                                      | OXEA Sarl, Tranche B-2 Term Loan (First Lien), 1/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 539,154                                                                       |
|   |                 |             |                                                                                                                                      | Fertilizers & Agricultural Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 4,264,313            | 4.25             |                                                                                                                                      | Methanol Holdings (Trinidad), Ltd. (Methanol Holdings Delaware LLC), Initial Term Loan, 6/2/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 3,912,507                                                                     |
|   |                 |             |                                                                                                                                      | Specialty Chemicals - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 1,311,750            | 3.75             |                                                                                                                                      | Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 5,149,065                                                                     |
|   | 5,183,311            | 5.00             |                                                                                                                                      | CSM Bakery Solutions LLC, Term Loan (First Lien), 7/3/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 3,130,958                                                                     |
|   | 3,201,388            | 5.50             |                                                                                                                                      | MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 4,879,500                                                                     |
|   | 5,029,334            | 5.50             |                                                                                                                                      | Macdermid, Inc.. (Platform Specialty Products Co.), Tranche B-2 Term Loan, 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 1,270,758  |
|   | 1,380,469            | 4.25             |                                                                                                                                      | OMNOVA Solutions, Inc., Term B-1 Loan, 5/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,362,350                                                                     |
|   | 6,159,500            | 4.00             |                                                                                                                                      | PQ Corp., 2014 Term Loan, 8/7/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 6,121,003                                                                     |
|   | 274,891              | 2.75             |                                                                                                                                      | WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 273,173                                                                       |
|   | 763,864              | 2.75             |                                                                                                                                      | WR Grace & Co-Conn, U.S. Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 759,089                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 22,945,896                                                                    |
|   |                 |             |                                                                                                                                      | Construction Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 5,088,904            | 4.25             |                                                                                                                                      | CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 5,059,221                                                                     |
|   |                 |             |                                                                                                                                      | Metal & Glass Containers - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 3,331,489            | 5.50             |                                                                                                                                      | BWay Intermediate, Initial Term Loan, 8/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 3,225,991                                                                     |
|   |                 |             |                                                                                                                                      | Paper Packaging - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 3,315,834            | 4.50             |                                                                                                                                      | Coveris Holdings SA, USD Term Loan, 4/14/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 3,232,938                                                                     |
|   |                 |             |                                                                                                                                      | Aluminum - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 3,557,125            | 4.00             |                                                                                                                                      | Novelis, Inc., Initial Term Loan, 5/28/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 3,404,837                                                                     |
|   |                 |             |                                                                                                                                      | Diversified Metals & Mining - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 5,470,433            | 4.25             |                                                                                                                                      | Fortescue Metals Group Ltd., Bank Loan, 6/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 4,106,621                                                                     |
|   | 1,877,558            | 4.00             |                                                                                                                                      | US Silica Co., Term Loan, 7/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 1,727,353                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 5,833,974                                                                     |
|   |                 |             |                                                                                                                                      | Steel - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 1,674,500            | 4.50             |                                                                                                                                      | Atkore International, Inc., Term Loan (First Lien), 3/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 1,569,844                                                                     |
|   |                 |             |                                                                                                                                      | Paper Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 7,171,316            | 5.75             |                                                                                                                                      | Appvion, Inc., Term Commitment, 6/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 6,705,180                                                                     |
|   | 2,207,484            | 4.25             |                                                                                                                                      | Rack Holdings, Inc., Tranche B-1 USD Term Loan, 10/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 2,195,067                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,900,247                                                                     |
|   |                 |             |                                                                                                                                      | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 60,151,645                                                                    |
|   |                 |             |                                                                                                                                      | Capital Goods - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Metal & Glass Containers - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 1,033,333            | 4.75             |                                                                                                                                      | Pro Mach Group, Inc., Dollar Term Loan, 10/22/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 1,031,396                                                                     |
|   |                 |             |                                                                                                                                      | Aerospace & Defense - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 2,397,969            | 4.00             |                                                                                                                                      | Accudyne Industries Borrower SCA, Refinancing Term Loan, 12/13/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 1,918,605                                                                     |
|   | 2,241,799            | 4.75             |                                                                                                                                      | DigitalGlobe, Inc., Term Loan, 1/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 8,352,578                                                                     |
|   | 8,491,948            | 6.25             |                                                                                                                                      | DynCorp International, Inc., Term Loan, 7/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 3,795,890                                                                     |
|   | 3,943,781            | 7.00             |                                                                                                                                      | TASC, Inc., First Lien Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,326,997                                                                     |
|   | 1,323,149            | 7.00             |                                                                                                                                      | TASC, Inc., New Term Loan (First Lien), 5/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 2,404,942                                                                     |
|   | 5,050,982            | 5.75             |                                                                                                                                      | The SI Organization, Inc., Term Loan (First Lien), 11/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 5,041,511                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 22,840,523                                                                    |
|   |                 |             |                                                                                                                                      | Building Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 3,375,890            | 4.25             |                                                                                                                                      | NCI Building Systems, Inc., Tranche B Term Loan, 6/24/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 1,868,794                                                                     |
|   | 970,125              | 3.50             |                                                                                                                                      | Nortek, Inc., Incremental-1 Loan, 10/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,316,812                                                                     |
|   | 1,882,322            | 4.25             |                                                                                                                                      | Summit Materials LLC, Restatement Effective Date Term Loan, 6/26/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 961,334    |
|   | 1,151,283            | 4.25             |                                                                                                                                      | Unifrax Corp., New Term B Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,110,988                                                                     |
| EURO   | 3,856,366            | 4.50             |                                                                                                                                      | Unifrax I LLC, New Term Euro Loan, 11/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 4,168,207                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 11,426,135                                                                    |
|   |                 |             |                                                                                                                                      | Electrical Components & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 2,676,607            | 5.25             |                                                                                                                                      | Pelican Products, Inc., Term Loan (First Lien), 4/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 2,633,112                                                                     |
|   | 2,628,278            | 6.00             |                                                                                                                                      | WireCo WorldGroup, Inc., Term Loan, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 2,529,717                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 5,162,829                                                                     |
|   |                 |             |                                                                                                                                      | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 530,160              | 4.25             |                                                                                                                                      | CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 527,067                                                                       |
|   | 1,548,581            | 4.25             |                                                                                                                                      | CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,539,548                                                                     |
|   | 1,879,305            | 4.50             |                                                                                                                                      | Doosan Infracore, Tranche B Term, 5/28/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,855,813                                                                     |
|   | 290,981              | 5.00             |                                                                                                                                      | Kloeckner Pentaplast of America, Inc., Initial U.S. Borrower Dollar Term Loan, 4/22/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 289,223    |
|   | 124,351              | 5.00             |                                                                                                                                      | KP Germany Erste GmbH, Initial German Borrower Dollar Term Loan, 4/22/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 123,600    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,335,251                                                                     |
|   |                 |             |                                                                                                                                      | Construction & Farm Machinery & Heavy Trucks - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 1,626,747            | 6.50             |                                                                                                                                      | Navistar, Inc., Tranche B Term Loan, 8/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 354,000                                                                       |
|   | 400,000              | 3.50             |                                                                                                                                      | Terex Corp., U.S. Term Loan, 8/13/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 1,607,429                                                                     |
|   | 1,626,747            | 4.50             |                                                                                                                                      | Terex Corp., U.S., Term Loan, 12/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,605,395                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,566,824                                                                     |
|   |                 |             |                                                                                                                                      | Industrial Machinery - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 13,095,679           | 0.00             |                                                                                                                                      | NN, Inc., Initial Term Loan, 10/2/22 (h)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 12,964,722                                                                    |
|   | 1,482,753            | 5.25             |                                                                                                                                      | Tank Holding Corp., Initial Term Loan, 7/9/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,461,906                                                                     |
|   | 780,017              | 6.25             |                                                                                                                                      | Xerium Technologies, Inc., Initial Term Loan, 5/17/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 778,554                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 15,205,182                                                                    |
|   |                 |             |                                                                                                                                      | Trading Companies & Distributors - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 6,374,025            | 4.25             |                                                                                                                                      | Univar USA, Inc., Initial Dollar Term Loan, 6/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 6,191,339                                                                     |
|   | 4,599,670            | 3.75             |                                                                                                                                      | WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,588,170                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 10,779,509                                                                    |
|   |                 |             |                                                                                                                                      | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 74,347,649                                                                    |
|   |                 |             |                                                                                                                                      | Commercial Services & Supplies - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | Environmental & Facilities Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 2,654,938            | 4.25             |                                                                                                                                      | Waste Industries USA, Inc., Initial Term Loan, 2/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 2,646,641                                                                     |
|   | 3,628,625            | 4.00             |                                                                                                                                      | WCA Waste Corp., Term Loan, 3/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 3,592,339                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,238,980                                                                     |
|   |                 |             |                                                                                                                                      | Diversified Support Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,062,410            | 4.00             |                                                                                                                                      | EMI Music, Inc., 1st Lien Term Loan B, 8/14/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,050,900                                                                     |
|   | 2,138,278            | 6.50             |                                                                                                                                      | Language Line LLC, Initial Term Loan (First Lien), 7/2/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,131,151                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,182,051                                                                     |
|   |                 |             |                                                                                                                                      | Security & Alarm Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 1,294,904            | 4.25             |                                                                                                                                      | Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 1,259,835                                                                     |
|   | 1,040,627            | 4.00             |                                                                                                                                      | Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 997,377    |
|   | 4,067,906            | 4.00             |                                                                                                                                      | Garda World Security Corp., Term B Loan, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 3,898,836                                                                     |
|   | 3,372,987            | 4.25             |                                                                                                                                      | Monitronics International, Inc., Term B Loan, 3/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 3,280,230                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 9,436,278                                                                     |
|   |                 |             |                                                                                                                                      | Human Resource & Employment Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   | 2,243,205            | 3.75             |                                                                                                                                      | On Assignment, Inc., Initial Term B Loan, 6/5/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 2,235,728                                                                     |
|   |                 |             |                                                                                                                                      | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 21,093,037                                                                    |
|   |                 |             |                                                                                                                                      | Transportation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      | Airlines - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 1,103,534            | 3.50             |                                                                                                                                      | American Airlines, Inc., Tranche B-1 Term Loan (Consenting), 5/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,094,050                                                                     |
|   | 354,375              | 3.00             |                                                                                                                                      | American Airlines, Inc., Tranche B-2 Term Loan (Consenting), 11/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 354,153    |
|   | 5,223,058            | 3.25             |                                                                                                                                      | Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       | 5,214,900                                                                     |
|   | 972,500              | 3.25             |                                                                                                                                      | United Airlines, Inc., Class B Term Loan, 4/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 967,638                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,630,741                                                                     |
|   |                 |             |                                                                                                                                      | Marine - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 3,552,553            | 5.25             |                                                                                                                                      | Navios Maritime Partners LP, Term Loan, 6/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 3,481,502                                                                     |
|   |                 |             |                                                                                                                                      | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 11,112,243                                                                    |
|   |                 |             |                                                                                                                                      | Automobiles & Components - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Auto Parts & Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 2,912,322            | 3.50             |                                                                                                                                      | Allison Transmission, Inc., Term B-3 Loan, 8/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,900,880                                                                     |
|   | 5,358,425            | 4.00             |                                                                                                                                      | Cooper Standard Intermediate Holdco 2 LLC, Term Loan, 3/28/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 5,289,210  |
|   | 6,034,227            | 4.50             |                                                                                                                                      | MPG Holdco I, Inc., Initial Term Loan, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       | 5,908,154                                                                     |
|   | 372,308              | 4.25             |                                                                                                                                      | Schaeffler AG, Facility B-USD, 5/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 373,425                                                                       |
|   | 5,910,099            | 4.50             |                                                                                                                                      | TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 5,791,897  |
|   | 1,018,929            | 4.00             |                                                                                                                                      | Tower Automotive Holdings USA LLC, Initial Term Loan (2014), 4/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 978,171    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 21,241,737                                                                    |
|   |                 |             |                                                                                                                                      | Tires & Rubber - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 4,962,500            | 3.75             |                                                                                                                                      | The Goodyear Tire & Rubber Co., Term Loan (Second Lien), 3/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,972,797                                                                     |
|   |                 |             |                                                                                                                                      | Automobile Manufacturers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 18,036,372           | 3.50             |                                                                                                                                      | Chrysler Group LLC, Term Loan B, 5/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 18,004,357                                                                    |
|   | 1,777,500            | 6.00             |                                                                                                                                      | Crown Group llc, Term Loan (First Lien), 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 1,741,950                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 19,746,307                                                                    |
|   |                 |             |                                                                                                                                      | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 45,960,841                                                                    |
|   |                 |             |                                                                                                                                      | Consumer Durables & Apparel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      | Home Furnishings - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 340,868              | 3.50             |                                                                                                                                      | Tempur Sealy International, Inc., New Term B Loan, 3/18/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 340,815                                                                       |
|   |                 |             |                                                                                                                                      | Housewares & Specialties - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 3,679,008            | 4.50             |                                                                                                                                      | Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 3,647,677                                                                     |
|   |                 |             |                                                                                                                                      | Leisure Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 4,000,000            | 3.75             |                                                                                                                                      | Bombardier Recreational Products, Inc., Term B-2 Loan, 1/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 3,964,000                                                                     |
|   |                 |             |                                                                                                                                      | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 7,952,492                                                                     |
|   |                 |             |                                                                                                                                      | Consumer Services - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   |                 |             |                                                                                                                                      | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 1,981,129            | 3.75             |                                                                                                                                      | Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 1,978,183                                                                     |
|   | 10,345,500           | 6.00             |                                                                                                                                      | Scientific Games, Initial Term B-2, 10/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 9,479,064                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 11,457,247                                                                    |
|   |                 |             |                                                                                                                                      | Hotels, Resorts & Cruise Lines - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 3,831,073            | 4.00             |                                                                                                                                      | Sabre GLBL, Inc., Incremental Term Loan, 2/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 3,804,255                                                                     |
|   | 2,969,388            | 4.00             |                                                                                                                                      | Sabre GLBL, Inc., Term B Loan, 2/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,943,406                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,747,661                                                                     |
|   |                 |             |                                                                                                                                      | Leisure Facilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 4,873,465            | 5.50             |                                                                                                                                      | L.A. Fitness International, LLC, Tranche B Term Loan (First Lien), 4/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 4,587,149                                                                     |
|   | 1,427,825            | 3.50             |                                                                                                                                      | Six Flags Theme Parks, Inc., Tranche B Term Loan, 6/30/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 1,425,445                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,012,594                                                                     |
|   |                 |             |                                                                                                                                      | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 7,412,563            | 4.00             |                                                                                                                                      | Landry's, Inc., B Term Loan, 4/24/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,385,923                                                                     |
|   |                 |             |                                                                                                                                      | Education Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 1,666,625            | 4.00             |                                                                                                                                      | Houghton Mifflin Harcourt Publishers, Inc., Term Loan, 5/11/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $          | 1,620,793                                                                     |
|   |                 |             |                                                                                                                                      | Specialized Consumer Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   | 1,436,408            | 5.00             |                                                                                                                                      | Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) Term B Loan First Lien, 6/19/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 1,416,657                                                                     |
|   | 51,900               | 4.25             |                                                                                                                                      | Wash Multifamily Parent, Inc., Initial Canadian Term Loan First Lien, 5/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 50,699     |
|   | 297,095              | 4.25             |                                                                                                                                      | Wash Multifamily Parent, Inc., Initial U.S. Term Loan First Lien, 5/5/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 290,225    |
|   | 1,129,336            | 4.00             |                                                                                                                                      | Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 831,473    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,589,054                                                                     |
|   |                 |             |                                                                                                                                      | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 35,813,272                                                                    |
|   |                 |             |                                                                                                                                      | Media - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      | Advertising - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 7,389,067            | 6.75             |                                                                                                                                      | Affinion Group, Inc., Tranche B Term Loan, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 6,844,123                                                                     |
|   |                 |             |                                                                                                                                      | Broadcasting - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   | 1,245,632            | 4.00             |                                                                                                                                      | Entercom Radio llc, Term B-2 Loan, 11/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 1,239,404                                                                     |
|   | 2,187,072            | 4.00             |                                                                                                                                      | Univision Communications, Inc., 2013 Incremental Term Loan, 3/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 2,145,152  |
|   | 6,877,128            | 4.00             |                                                                                                                                      | Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 6,746,751  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 10,131,307                                                                    |
|   |                 |             |                                                                                                                                      | Cable & Satellite - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 10,715,000           | 0.00             |                                                                                                                                      | Charter Communications Operating LLC, 1st Lien Bridge Loan, 5/26/16 (h)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 10,715,000                                                                    |
|   | 1,862,738            | 3.50             |                                                                                                                                      | Cequel Communications LLC, Term Loan, 2/14/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 1,837,125                                                                     |
|   | 3,744,000            | 3.25             |                                                                                                                                      | MCC Iowa LLC, Tranche H Term Loan, 1/29/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,701,880                                                                     |
|   | 6,581,226            | 3.50             |                                                                                                                                      | Telesat Canada, U.S. Term B Loan, 3/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 6,498,961                                                                     |
|   | 2,743,404            | 3.50             |                                                                                                                                      | Ziggo BV, (USD) Tranche B-3 Term Loan, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 2,669,461                                                                     |
|   | 2,588,511            | 3.50             |                                                                                                                                      | Ziggo BV, Tranche B-1 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 2,518,743                                                                     |
|   | 1,668,085            | 3.50             |                                                                                                                                      | Ziggo BV, Tranche B-2 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 1,623,125                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 29,564,295                                                                    |
|   |                 |             |                                                                                                                                      | Movies & Entertainment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 1,091,564            | 3.75             |                                                                                                                                      | Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 1,088,836                                                                     |
|   | 3,228,219            | 3.75             |                                                                                                                                      | Rovi Solutions Corp., Term B Loan, 7/2/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,066,808                                                                     |
|   | 4,841,069            | 3.75             |                                                                                                                                      | WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 4,601,436  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,757,080                                                                     |
|   |                 |             |                                                                                                                                      | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 55,296,805                                                                    |
|   |                 |             |                                                                                                                                      | Retailing - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | General Merchandise Stores - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 2,105,833            | 3.50             |                                                                                                                                      | Dollar Tree, Inc., Term B-1 Loan, 3/9/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 2,102,824                                                                     |
|   |                 |             |                                                                                                                                      | Computer & Electronics Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 1,781,864            | 3.75             |                                                                                                                                      | Rent-A-Center, Inc., Term Loan (2014), 2/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 1,674,952                                                                     |
|   | 1,906,131            | 15.00            |                                                                                                                                      | Targus Group International, Inc., Term Loan, 5/24/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 1,396,241                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,071,193                                                                     |
|   |                 |             |                                                                                                                                      | Home Improvement Retail - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   | 1,326,136            | 4.50             |                                                                                                                                      | Apex Tool Group LLC, Term Loan, 2/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 1,268,671                                                                     |
|   |                 |             |                                                                                                                                      | Specialty Stores - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 5,479,296            | 4.25             |                                                                                                                                      | PetSmart, Inc., Tranche B-1 Loan, 3/10/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 5,353,442                                                                     |
|   |                 |             |                                                                                                                                      | Automotive Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 7,227,373            | 5.75             |                                                                                                                                      | CWGS Group LLC, Term Loan, 2/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 7,182,202                                                                     |
|   | 1,212,500            | 3.75             |                                                                                                                                      | The Hertz Corp., Tranche B1 Term Loan, 3/11/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 1,211,237                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,393,439                                                                     |
|   |                 |             |                                                                                                                                      | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 20,189,569                                                                    |
|   |                 |             |                                                                                                                                      | Food & Staples Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Food Distributors - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 1,342,897            | 5.75             |                                                                                                                                      | AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 1,342,562                                                                     |
|   | 487,922              | 4.26             |                                                                                                                                      | Del Monte Foods Consumer Products, Inc., Term Loan (First Lien), 11/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 470,031    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,812,593                                                                     |
|   |                 |             |                                                                                                                                      | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 1,488,750            | 5.50             |                                                                                                                                      | Albertson's LLC, Term B-4 Loan, 8/11/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 1,478,515                                                                     |
|   | 1,980,038            | 5.50             |                                                                                                                                      | Albertsons LLC, Term B-2 Loan, 3/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,972,749                                                                     |
|   | 500,000              | 5.50             |                                                                                                                                      | Albertsons LLC, Term B-5 Loan, 12/21/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 497,240                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,948,504                                                                     |
|   |                 |             |                                                                                                                                      | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 5,761,097                                                                     |
|   |                 |             |                                                                                                                                      | Food, Beverage & Tobacco - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Packaged Foods & Meats - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 3,165,520            | 4.50             |                                                                                                                                      | Dole Food Co, Inc., Tranche B Term Loan, 10/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 3,149,692                                                                     |
|   | 4,875,000            | 4.00             |                                                                                                                                      | JBS USA LLC, 2015 Incremental Term Loan, 9/18/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 4,806,384                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 7,956,076                                                                     |
|   |                 |             |                                                                                                                                      | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 7,956,076                                                                     |
|   |                 |             |                                                                                                                                      | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   |                 |             |                                                                                                                                      | Household Products - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 109,724              | 3.50             |                                                                                                                                      | Spectrum Brands, Inc., USD Term Loan, 6/16/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 109,489                                                                       |
|   | 3,055,019            | 4.02             |                                                                                                                                      | SRAM LLC, Term Loan (First Lien), 4/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 2,535,666                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,645,155                                                                     |
|   |                 |             |                                                                                                                                      | Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 2,493,687            | 4.75             |                                                                                                                                      | Federal-Mogul Corporation, Tranche C Term, 4/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 2,205,666                                                                     |
|   | 1,822,684            | 4.00             |                                                                                                                                      | Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,817,559  |
|   | 2,689,539            | 3.25             |                                                                                                                                      | Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 2,687,438  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,710,663                                                                     |
|   |                 |             |                                                                                                                                      | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 9,355,818                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Equipment & Services - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   |                 |             |                                                                                                                                      | Health Care Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 8,491,281            | 4.50             |                                                                                                                                      | Kinetic Concepts, Inc., Term  DTL-E1 loan, 5/4/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 8,187,013                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Supplies - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 1,640,888            | 5.00             |                                                                                                                                      | Immucor, Inc., Term B-2 Loan, 8/19/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 7,115,918                                                                     |
|   | 7,470,780            | 4.25             |                                                                                                                                      | Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4/27/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,599,865                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,715,783                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 641,367              | 4.25             |                                                                                                                                      | Alliance HealthCare Services, Inc., Initial Term Loan, 6/3/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 3,139,354                                                                     |
|   | 3,287,282            | 6.50             |                                                                                                                                      | Ardent Legacy Acquisitions, Inc. (Ardent Mergeco LLC), Term Loan, 7/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 638,160    |
|   | 4,315,919            | 6.50             |                                                                                                                                      | BioScrip, Inc., Initial Term B Loan, 7/31/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 3,954,461                                                                     |
|   | 2,589,552            | 6.50             |                                                                                                                                      | BioScrip, Inc., Term Loan, 7/31/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 2,372,677                                                                     |
|   | 5,846,286            | 3.50             |                                                                                                                                      | DaVita HealthCare Partners, Inc., Tranche B Loan (First Lien), 6/19/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 5,828,718  |
|   | 1,939,053            | 4.25             |                                                                                                                                      | Envision Healthcare Corp., Initial Term Loan, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 1,932,994                                                                     |
|   | 383,644              | 7.75             |                                                                                                                                      | inVentiv Health, Inc., Term B-3 Loan, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       | 378,529                                                                       |
|   | 1,288,464            | 4.25             |                                                                                                                                      | National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 1,255,715                                                                     |
|   | 7,295,866            | 4.50             |                                                                                                                                      | Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 7,004,031  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 26,504,639                                                                    |
|   |                 |             |                                                                                                                                      | Health Care Facilities - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 2,136,609            | 3.36             |                                                                                                                                      | CHS, Incremental 2019 Term G Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 2,086,198                                                                     |
|   | 3,931,304            | 4.00             |                                                                                                                                      | CHS, Incremental 2021 Term H Loan, 1/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 3,868,651                                                                     |
|   | 6,149,766            | 4.50             |                                                                                                                                      | IASIS Healthcare LLC, Term B-2 Loan, 5/3/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       | 6,048,295                                                                     |
|   | 8,552,196            | 4.25             |                                                                                                                                      | Kindred Healthcare, Inc., Tranche B Loan (First Lien), 4/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 8,252,870                                                                     |
|   | 3,161,314            | 6.00             |                                                                                                                                      | RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 3,124,431  |
|   | 1,992,902            | 5.00             |                                                                                                                                      | Select Medical Corp., Series E Tranche B Term Loan, 6/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,986,674                                                                     |
|   | 2,193,750            | 6.75             |                                                                                                                                      | Steward Health Care System LLC, Term Loan, 4/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       | 2,138,906                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 27,506,025                                                                    |
|   |                 |             |                                                                                                                                      | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 1,890,203            | 9.75             |                                                                                                                                      | MMM Holdings, Inc., Term Loan, 10/9/17 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 1,245,171                                                                     |
|   | 1,374,168            | 9.75             |                                                                                                                                      | MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17 (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       | 905,233                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,150,404                                                                     |
|   |                 |             |                                                                                                                                      | Health Care Technology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   | 4,154,125            | 4.25             |                                                                                                                                      | ConvaTec, Inc., Dollar Term Loan, 12/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 4,096,142                                                                     |
|   | 2,963,865            | 3.75             |                                                                                                                                      | Emdeon, Inc., Term B-2 Loan, 11/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 2,915,702                                                                     |
|   | 1,656,278            | 4.00             |                                                                                                                                      | MedAssets, Inc., Term B Loan, 12/13/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 1,647,997                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,659,841                                                                     |
|   |                 |             |                                                                                                                                      | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 81,723,705                                                                    |
|   |                 |             |                                                                                                                                      | Pharmaceuticals, Biotechnology & Life Sciences - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | Biotechnology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 1,815,485            | 3.50             |                                                                                                                                      | Alkermes, Inc., 2019 Term Loan, 9/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 1,809,812                                                                     |
|   |                 |             |                                                                                                                                      | Pharmaceuticals - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 2,493,757            | 3.75             |                                                                                                                                      | Endo Luxembourg Finance Co., S.a. r.l., 2015 Incremental Term B Loan, 6/24/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 2,465,184                                                                     |
|   | 4,323,000            | 3.42             |                                                                                                                                      | Grifols Worldwide Operations USA, Inc., U.S. Tranche B Term Loam, 4/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 4,288,416  |
|   | 2,423,100            | 4.25             |                                                                                                                                      | JLL, Initial Dollar Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 2,341,320                                                                     |
|   | 3,923,123            | 3.50             |                                                                                                                                      | Prestige Brands, Inc., Term B-3 Loan, 9/3/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 3,906,775                                                                     |
|   | 7,759,826            | 3.25             |                                                                                                                                      | RPI Finance Trust, Term B-3 Term Loan, 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       | 7,747,216                                                                     |
|   | 6,238,200            | 3.75             |                                                                                                                                      | Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 6,000,369  |
|   | 471,438              | 4.00             |                                                                                                                                      | Valeant Pharmaceuticals, Series F-1,  3/11/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       | 455,428                                                                       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 27,204,708                                                                    |
|   |                 |             |                                                                                                                                      | Life Sciences Tools & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 3,541,125            | 5.75             |                                                                                                                                      | Albany Molecular Research, Inc., Term Loan, 7/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 3,523,419                                                                     |
|   | 4,715,191            | 4.25             |                                                                                                                                      | Catalent Pharma Solutions, Dollar Term Loan, 5/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       | 4,683,755                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 8,207,174                                                                     |
|   |                 |             |                                                                                                                                      | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 37,221,694                                                                    |
|   |                 |             |                                                                                                                                      | Diversified Financials - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      | Other Diversified Financial Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 2,873,766            | 3.50             |                                                                                                                                      | AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 2,864,785                                                                     |
|   | 1,267,500            | 5.00             |                                                                                                                                      | Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,185,112  |
|   | 2,359,872            | 5.00             |                                                                                                                                      | Nord Anglia Education, Initial Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 2,333,324                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 6,383,221                                                                     |
|   |                 |             |                                                                                                                                      | Specialized Finance - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 5,718,268            | 4.25             |                                                                                                                                      | Mirror BidCo Corp., New Incremental Term Loan, 12/18/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | 6,912,799                                                                     |
|   | 6,970,887            | 3.50             |                                                                                                                                      | Trans Union LLC, 2015, Term B-2 Loan, 4/9/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 5,565,304                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 12,478,103                                                                    |
|   |                 |             |                                                                                                                                      | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $          | 18,861,324                                                                    |
|   |                 |             |                                                                                                                                      | Insurance - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Insurance Brokers - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 2,695,890            | 4.50             |                                                                                                                                      | National Financial Partners Corp., Tranche B Term Loan (First Lien), 7/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 2,601,534                                                                     |
|   | 26,073,285           | 4.25             |                                                                                                                                      | USI Insurance Services LLC, Term B Loan, 12/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 25,201,473                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 27,803,007                                                                    |
|   |                 |             |                                                                                                                                      | Multi-line Insurance - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 501,988              | 4.50             |                                                                                                                                      | Alliant Holdings I LLC, Initial Term Loan, 7/28/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 492,420                                                                       |
|   |                 |             |                                                                                                                                      | Property & Casualty Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 1,687,250            | 5.75             |                                                                                                                                      | Confie Seguros Holding II Co., Term B Loan (First Lien), 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 3,069,738                                                                     |
|   | 3,108,596            | 5.50             |                                                                                                                                      | Hyperion Insurance Group, Ltd., Initial Term Loan, 3/26/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,683,032                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,752,770                                                                     |
|   |                 |             |                                                                                                                                      | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 33,048,197                                                                    |
|   |                 |             |                                                                                                                                      | Real Estate - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      | Real Estate Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 3,839,874            | 4.50             |                                                                                                                                      | Altisource Solutions Sarl, Term B Loan, 12/9/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 3,359,890                                                                     |
|   |                 |             |                                                                                                                                      | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 3,359,890                                                                     |
|   |                 |             |                                                                                                                                      | Software & Services - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   |                 |             |                                                                                                                                      | IT Consulting & Other Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 11,618,459           | 5.75             |                                                                                                                                      | Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 9,062,398                                                                     |
|   | 726,248              | 4.50             |                                                                                                                                      | Kronos, Inc., Incremental Term Loan (First Lien), 10/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 716,262                                                                       |
|   | 1,242,863            | 4.50             |                                                                                                                                      | PSAV Presentation Services, Tranche B Term Loan (First Lien), 1/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 1,199,362  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 10,978,022                                                                    |
|   |                 |             |                                                                                                                                      | Data Processing & Outsourced Services - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   | 1,528,214            | 3.92             |                                                                                                                                      | First Data Corp., 2018 New Dollar Term Loan, 3/24/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 1,511,021                                                                     |
|   |                 |             |                                                                                                                                      | Application Software - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |       |                                                                          |
|   | 4,427,459            | 8.50             |                                                                                                                                      | Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 4,405,322                                                                     |
|   | 455,809              | 6.25             |                                                                                                                                      | STG-Fairway Acquisitions, Inc., Term Loan (First Lien), 3/4/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 444,414    |
|   | 4,034,508            | 3.50             |                                                                                                                                      | Verint Systems, Inc., Tranche B-2 Term Loan (First Lien), 9/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 4,023,413  |
|   | 5,768,666            | 4.25             |                                                                                                                                      | Vertafore, Inc., Term Loan (2013), 10/3/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 5,727,461                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 14,600,610                                                                    |
|   |                 |             |                                                                                                                                      | Systems Software - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       |                                                                          |
|   | 1,747,350            | 5.75             |                                                                                                                                      | AVG Technologies N.V., Term Loan, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 1,740,797                                                                     |
|   |                 |             |                                                                                                                                      | Home Entertainment Software - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   | 2,399,560            | 5.25             |                                                                                                                                      | Micro Focus International, Term Loan B, 10/7/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 2,377,964                                                                     |
|   |                 |             |                                                                                                                                      | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $          | 31,208,414                                                                    |
|   |                 |             |                                                                                                                                      | Technology Hardware & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   |                 |             |                                                                                                                                      | Electronic Equipment Manufacturers - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 710,791              | 4.50             |                                                                                                                                      | Sensus USA, Inc., Term Loan (First Lien), 5/9/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 694,798                                                                       |
|   | 1,503,125            | 4.75             |                                                                                                                                      | Zebra Technologies, Term Loan B, 9/30/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |       | 1,506,766                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,201,564                                                                     |
|   |                 |             |                                                                                                                                      | Electronic Components - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 5,248,625            | 5.75             |                                                                                                                                      | Mirion Technologies Finance LLC, (Mirion Technologies, Inc.) Initial Term Loan First Lien, 1/26/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 5,187,389                                                                     |
|   |                 |             |                                                                                                                                      | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 7,388,953                                                                     |
|   |                 |             |                                                                                                                                      | Semiconductors & Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      | Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   | 1,975,075            | 2.86             |                                                                                                                                      | Sensata Technologies B.V. (Sensata Technologies Finance Co.,, LLC) Sixth Amendment Term Loan, 10/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $          | 1,943,474                                                                     |
|   | 1,414,833            | 4.25             |                                                                                                                                      | VAT Lux II S.a.r.l. (fka Virtuoso Lux II S.a.r.l.) (aka Virtuoso U.S. LLC), Term Loan, 2/11/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 1,399,801  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,343,275                                                                     |
|   |                 |             |                                                                                                                                      | Semiconductors - 0.0%+                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   | 1,642,408            | 5.25             |                                                                                                                                      | Microsemi Corp.,Term Loan (2014), 12/17/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $          | 1,616,951                                                                     |
|   | 1,642,408            | 3.25             |                                                                                                                                      | Microsemi Corp., Term Loan (First Lien), 3/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 1,640,355                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 3,257,306                                                                     |
|   |                 |             |                                                                                                                                      | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 6,600,581                                                                     |
|   |                 |             |                                                                                                                                      | Telecommunication Services - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Integrated Telecommunication Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 17,041,760           | 4.00             |                                                                                                                                      | GCI Holdings, Inc., New Term B Loan, 2/2/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          | 3,266,476                                                                     |
|   | 3,260,363            | 4.75             |                                                                                                                                      | Securus Technologies Holdings, Inc., Initial Term Loan (First Lien), 4/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,250,737  |
|   | 1,719,227            | 5.25             |                                                                                                                                      | Securus Technologies Holdings, Inc., Term Loan B2, 4/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 2,291,625                                                                     |
|   | 3,150,000            | 3.50             |                                                                                                                                      | Virgin Media Investment Holdings, Ltd., Facility, 6/30/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 16,708,032                                                                    |
|   | 1,939,592            | 3.25             |                                                                                                                                      | West Corp., B-10 Term Loan (First Lien), 6/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       | 1,910,498                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 25,427,368                                                                    |
|   |                 |             |                                                                                                                                      | Wireless Telecommunication Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   | 2,821,064            | 4.00             |                                                                                                                                      | Syniverse Holdings, Inc., Initial Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 2,094,640                                                                     |
|   | 4,048,090            | 4.00             |                                                                                                                                      | Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       | 3,005,707                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 5,100,347                                                                     |
|   |                 |             |                                                                                                                                      | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $          | 30,527,715                                                                    |
|   |                 |             |                                                                                                                                      | Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | Electric Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   | 3,582,769            | 4.75             |                                                                                                                                      | Atlantic Power LP, Term Loan, 2/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $          | 3,569,334                                                                     |
|   | 1,391,702            | 3.00             |                                                                                                                                      | Calpine Construction Finance Co. LP, Term B-1 Loan, 5/3/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       | 1,320,958                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 4,890,292                                                                     |
|   |                 |             |                                                                                                                                      | Independent Power Producers & Energy Traders - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   | 5,348,125            | 3.50             |                                                                                                                                      | Calpine Corp., Term Loan, 5/28/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $          | 5,095,763                                                                     |
|   | 1,064,250            | 4.00             |                                                                                                                                      | Calpine Corp., Term Loan, 9/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       | 1,043,186                                                                     |
|   | 2,817,570            | 4.00             |                                                                                                                                      | Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       | 2,731,282                                                                     |
|   | 3,654,375            | 3.75             |                                                                                                                                      | NSG Holdings LLC, New Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       | 3,599,559                                                                     |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 12,469,790                                                                    |
|   |                 |             |                                                                                                                                      | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $          | 17,360,082                                                                    |
|   |                 |             |                                                                                                                                      | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $654,928,085)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $          | 630,234,849                                                                   |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | TEMPORARY CASH INVESTMENTS - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 |             |                                                                                                                                      | Repurchase Agreements - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   | 14,475,000           |             |                                                                                                                                      | $14,475,000 Bank of Nova Scotia, 0.33%, dated 12/31/15 plus accrued interest on 1/4/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|   |                 |             |                                                                                                                                      | collateralized by the following:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | $782,917 Freddie Mac Giant, 3.5%, 10/1/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      | $10,553,498 Federal Home Loan Mortgage Corp, 2.196% - 2.886%, 2/1/43-6/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|   |                 |             |                                                                                                                                      | $1,653,651 Federal National Mortgage Association (ARM), 2.685%, 10/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|   |                 |             |                                                                                                                                      | $1,737,384 Federal National Mortgage Association, 5.5%, 4/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |
|   |                 |             |                                                                                                                                      | $37,591 Government National Mortgage Association, 4.0%, 5/15/45-10/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $          | 14,475,000                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 12,000,000           |             |                                                                                                                                      | $12,000,000 RBC Capital Markets LLC, 0.30%, dated 12/31/15 plus accrued interest on 1/4/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|   |                 |             |                                                                                                                                      | collateralized by the following:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | $31,650 Federal Home Loan Mortgage Corp., 2.68%, 5/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   |                 |             |                                                                                                                                      | $66,175 Federal National Mortgage Association (ARM), 0% - 1.988%, 4/1/36-12/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|   |                 |             |                                                                                                                                      | $12,135,338 Federal National Mortgage Association, 3.5%, 11/1/45-12/1/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|   |                 |             |                                                                                                                                      | $6,837 Government National Mortgage Association, 3.5%, 10/20/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 12,000,000 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | 5,530,000            |             |                                                                                                                                      | $5,530,000 TD Securities USA LLC, 0.31%, dated 12/31/15 plus accrued interest on 1/4/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|   |                 |             |                                                                                                                                      | collateralized by $1,723,801 U.S. Treasury Note, 2.0%, 11/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 5,530,000  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $          | 32,005,000                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | TOTAL TEMPORARY CASH INVESTMENTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $32,005,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $          | 32,005,000                                                                    |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | TOTAL INVESTMENT IN SECURITIES - 100.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   |                 |             |                                                                                                                                      | (Cost $6,798,346,534) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 6,549,257,857                                                                 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | OTHER ASSETS & LIABILITIES - (0.3)%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $          | (19,255,727)                                                                  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          | 6,530,002,130                                                                 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | +                    |             |                                                                                                                                      | Amount rounds to less than 0.1% or (0.1)%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (Step)               |             |                                                                                                                                      | Step up bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (Cat Bond)           |             | Catastrophe or event linked bond.  At December 31, 2015 the value of these securities amounted to $136,829,153 or 2.1% of total |
|   |                 |             |                                                                                                                                      | net assets. See Notes to Financial Statements - 1H.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | REMICS               |             |                                                                                                                                      | Real Estate Mortgage Investment Conduits.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (Perpetual)          |             | Security with no stated maturity date.                                                                                                    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (PIK)                |             |                                                                                                                                      | Represends a pay in kind security.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | REIT                 |             |                                                                                                                                      | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (A.D.R.)             |             |                                                                                                                                      | American Depositary Receipt.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | *                    |             |                                                                                                                                      | Non-income producing security.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (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 December 31, 2015, the value of these securities amounted to $2,130,725,994 or 32.6% of total net assets.                                                                                                                                                                                                                                              |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | **                   |             |                                                                                                                                      | Senior floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium.  These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders.  The rate shown is the coupon rate at period end. |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (a)                  |             |                                                                                                                                      | At December 31, 2015, the net unrealized depreciation on investments based on                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|   |                 |             |                                                                                                                                      | cost for federal income tax purposes of $6,798,346,534 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Aggregate gross unrealized appreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|   |                 |             |                                                                                                                                      | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $          |            133,728,594 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Aggregate gross unrealized depreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|   |                 |             |                                                                                                                                      | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |       |          (382,817,271)           |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Net unrealized depreciation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $          |          (249,088,677)           |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (b)                  |             |                                                                                                                                      | Debt obligation with a variable interest rate.  Rate shown is rate at end of period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (c)                  |             |                                                                                                                                      | Security is valued using fair value methods (other than prices supplied by independent pricing services).                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|   |                 |             |                                                                                                                                      | See Notes To Financial Statements - Note 1A.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (d)                  |             |                                                                                                                                      | Security issued with a zero coupon. Income is recognized through accretion of discount.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (e)                  |             |                                                                                                                                      | Security is in default.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (f)                  |             |                                                                                                                                      | Structured reinsurance investment.  At December 31, 2015, the value of these securities amounted to $190,010,791 or 2.9% of total                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|   |                 |             |                                                                                                                                      | net assets.  See Notes To Financial Statements - Note 1H.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (g)                  |             |                                                                                                                                      | Rate to be determined.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   | (h)                  |             |                                                                                                                                      | Consists of revenue bonds unless otherwise indicated.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |       |                                                                          |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 |             |                                                                                                                                      | Principal amounts are denominated in U.S. Dollars unless otherwise noted:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|   |                 |             |                                                                                                                                      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 | AUD              |                                                                                                                                      | Australian Dollar                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |       |                                                                          |
|   |                 | CNY              |                                                                                                                                      | New Chinese Yuan                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |       |                                                                          |
|   |                 | EURO             |                                                                                                                                      | Euro                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |       |                                                                          |
|   |                 | GBP              |                                                                                                                                      | British Pound Sterling                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |       |                                                                          |
|   |                 | INR              |                                                                                                                                      | Indian Rupee                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 | JPY              |                                                                                                                                      | Japanese Yen                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 | MXN              |                                                                                                                                      | Mexican Peso                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |       |                                                                          |
|   |                 | NOK              |                                                                                                                                      | Norwegian Krone                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |       |                                                                          |
|   |                 | NZD              |                                                                                                                                      | New Zealand Dollar                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |       |                                                                          |
|   |                 | RUB              |                                                                                                                                      | Russian Ruble                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |       |                                                                          |

|                                                                                                                                                                                                    | CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION                                                                                          |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------|----------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    | Notional Principal ($) (1)                                                                                                                | Counterparty                        |                                   | Obligation Entity/Index                                                                                                                                                       |                                                                                                                                                    | Coupon                                                                                                                                                              | Credit Rating (2)                                                                                                                                 | Expiration Date | Premiums Paid (Received) | Net Unrealized Appreciation (Depreciation) |
|                                                                                                                                                                                                    |             7,000,000                                                         | J.P. Morgan Securities LLC          | American Axle & Manufacturing Co., |                                                                                                                                                                          | 5.00%                                                                                                                                                   | B+                                                                                                                                                                  | 12/20/17                                                                                                                                          |  $           (280,000) |  $        869,320 |
|                                                                                                                                                                                                    |           10,480,000                                                                    | Morgan Stanley Capital Services LLC | Diamond Offshore Drilling Co.          |                                                                                                                                                                          | 1.00%                                                                                                                                                   | BBB+                                                                                                                                                                | 12/20/19                                                                                                                                          |              (382,004) |        (1,060,354) |
|                                                                                                                                                                                                    |             2,795,000                                                         | Morgan Stanley Capital Services LLC | Diamond Offshore Drilling Co.          |                                                                                                                                                                          | 1.00%                                                                                                                                                   | BBB+                                                                                                                                                                | 12/20/19                                                                                                                                          |              (104,710) |          (279,965) |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |              (766,714) |  $       (470,999) |
|                (1)                                                                                                           | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
|                (2)                                                                                                           | Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index.                    |                                |                                   |                                                                                                                                                                          |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
| Various inputs are used in determining the value of the Fund's investments.  These inputs are summarized in the three broad levels listed below.                                              |                                                                                                                                      |                                |                                   |
| Level 1 – quoted prices in active markets for identical securities                                                                                                                                |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |
| Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) See Notes to Financial Statements - Note 1A. |                                                                                                                                      |                                |                                   |
| Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments) See Notes to Financial Statements - Note 1A.                      |                                                                                                                                      |                                |                                   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
| The following is a summary of the inputs used as of December 31, 2015, in valuing the Fund's investments:                                                                                               |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    | Level 1                                                                                                                                                             |  Level 2                                                                                                                                     |  Level 3 | Total |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Convertible Corporate Bonds                                                                                                                                                   |                                                                                                                                                    |  $                        -            |          76,876,377                                                                                  |                         - |  $        76,876,377 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Preferred Stocks                                                                                                                                                              |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |                          - |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Transportation                                                                                                                                                    |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Air Freight & Logistics                                                                                                                           |                                                                                                                                                    |                            - |            1,041,052                                                                       |                         - |             1,041,052 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Insurance                                                                                                                                                         |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Reinsurance                                                                                                                                           |                                                                                                                                                    |                            - |                       -             |                142,500 |                142,500 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   All Other Preferred Stocks                                                                                                                                        |                                                                                                                                                    |             62,030,558                                                                                  |                       -             |                           - |           62,030,558 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Convertible Preferred Stocks                                                                                                                                                  |                                                                                                                                                    |             42,492,557                                                                                  |                       -             |                           - |           42,492,557 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Common Stocks                                                                                                                                                                 |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Capital Goods                                                                                                                                                     |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Construction & Engineering                                                                                                                        |                                                                                                                                                    |                            - |               831,275                                                       |                           - |                831,275 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Industrial Machinery                                                                                                                                  |                                                                                                                                                    |                            - |                       -             |                    1,858 |                   1,858 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Transportation                                                                                                                                                    |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Air Freight & Logistics                                                                                                                           |                                                                                                                                                    |                            - |               480,915                                                       |                           - |                480,915 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Consumer Services                                                                                                                                                 |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Education Services                                                                                                                                    |                                                                                                                                                    |                            - |            2,131,598                                                                       |                           - |             2,131,598 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Insurance                                                                                                                                                         |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Life & Health Insurance                                                                                                                           |                                                                                                                                                    |                            - |                       -             |                  51,273 |                  51,273 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Semiconductors & Semiconductor Equipment                                                                                                                      |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Semiconductors                                                                                                                                        |                                                                                                                                                    |                     7,622                                       |                       -             |                           - |                   7,622 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Asset Backed Securities                                                                                                                                                       |                                                                                                                                                    |                            - |        323,754,730                                                                                             |                           - |          323,754,730 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Collateralized Mortgage Obligations                                                                                                                                           |                                                                                                                                                    |                            - |        732,228,745                                                                                             |                           - |          732,228,745 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Corporate Bonds                                                                                                                                                               |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Capital Goods                                                                                                                                                     |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Industrial Machinery                                                                                                                                  |                                                                                                                                                    |                            - |            1,430,367                                                                       |              2,501,222 |             3,931,589 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Diversified Financials                                                                                                                                            |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |    Other Diversified Financial Services                                                                                                                        |                                                                                                                                                    |                            - |          94,244,309                                                                                  |              9,300,622 |          103,544,931 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   Insurance                                                                                                                                                         |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |     Reinsurance                                                                                                                                           |                                                                                                                                                    |                            - |        143,349,869                                                                                             |          189,868,291 |          333,218,160 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |   All Other Corporate Bonds                                                                                                                                         |                                                                                                                                                    |                            - |      2,525,016,759                                                                                                       |                           - |       2,525,016,759 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | U.S. Government Agency Obligations                                                                                                                                            |                                                                                                                                                    |                            - |      1,092,302,202                                                                                                       |                           - |       1,092,302,202 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Foreign Government Bonds                                                                                                                                                      |                                                                                                                                                    |                            - |        386,950,744                                                                                             |                           - |          386,950,744 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Municipal Bonds                                                                                                                                                               |                                                                                                                                                    |                            - |        199,982,563                                                                                             |                           - |          199,982,563 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Senior Floating Rate Loan Interests                                                                                                                                           |                                                                                                                                                    |                            - |        630,234,849                                                                                             |                           - |          630,234,849 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Repurchase Agreements                                                                                                                                                         |                                                                                                                                                    |                            - |          32,005,000                                                                                  |                           - |           32,005,000 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Total                                                                                                                                                                         |                                                                                                                                                    |  $        104,530,737                                                                                                  |      6,242,861,354                                                                                                       | 201,865,766 |  $   6,549,257,857 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Other Financial Instruments                                                                                                                                                   |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Net unrealized appreciation on swap contracts                                                                                                                                 |                                                                                                                                                    |  $                      -                        |  $         (470,999)                                                                            |  $                     - |  $           (470,999) |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Net unrealized depreciation on futures contracts                                                                                                                              |                                                                                                                                                    |               5,521,849                                                                       |                       -             |                         - |             5,521,849 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Net unrealized appreciation on forward foreign currency contracts                                                                                                             |                          - |          18,766,777                                                                                                    |                         - |           18,766,777 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Net unrealized depreciation on forward foreign currency contracts                                                                                                             |                          - |         (22,000,079)                                                                                                        |                         - |          (22,000,079) |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Total Other Financial Instruments                                                                                                                                             |                                                                                                                                                    |  $           5,521,849                                                                                  |  $       (3,704,301)                                                                                      |  $                     - |  $         1,817,548 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
| The following is a reconciliation of assets valued using significant observable inputs (Level 3):                                                                                                       |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    | PreferredStocks                                                                                                                                                     |  CommonStocks                                                                                                                                |  Corporate Bonds | Total |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Balance as of 9/30/15                                                                                                                                                         |                                                                                                                                                    |  $              142,500                                                                  |  $             54,461                                                       |  $      195,033,079 |  $      195,230,040 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Realized gain (loss)                                                                                                                                                          |                                                                                                                                                    |                          -             |                       -             |                  30,000 |                        - |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Change in unrealized appreciation (depreciation)1                                                                                                                             |                                                                                                                                                    |                          -             |                 (1,330)                                           |              7,719,278 |             7,717,948 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Purchases                                                                                                                                                                     |                                                                                                                                                    |                          -             |                       -             |              8,000,000 |             8,000,000 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Sales                                                                                                                                                                         |                                                                                                                                                    |                          -             |                       -             |            (9,112,222) |            (9,112,222) |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Transfers in to Level 3*                                                                                                                                                      |                                                                                                                                                    |                          -             |                       -             |                         - |                        - |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Transfers out of Level 3*                                                                                                                                                     |                                                                                                                                                    |                          -             |                       -             |                         - |                        - |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Balance as of 12/31/15                                                                                                                                                        |                                                                                                                                                    |  $              142,500                                                                  |  $             53,131                                                       |  $      201,670,135 |  $      201,835,766 |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                | 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 December 31, 2015, there were                                                  |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | no transters between Levels 1, 2 and 3.                                                                                                                                       |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   |                                                                                                                                                                          |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | Net change in unrealized appreciation (depreciation) of investments                                                                                                           |                                                                                                                                                    |                                                                                                                                                                |                                                                                                                                              |   |
|                                                                                                                                                                                                    |                                                                                                                                      |                                |                                   | still held as of 12/31/15                                                                                                                                                     |                                                                                                                                                    |  $           7,581,058                                                                                  |                                                                                                                                              |   |   |   |